MEASURING CONTAGION WITH A BAYESIAN TIME-VARYING COEFFICIENT MODEL
Alessandro Rebucci ()
Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
We propose to use a time-varying coefficient model to measure contagion. The proposed measure works in the joint presence of heteroskedasticity and omitted variables. It requires knowledge of the source of the crisis but not its timing. The estimation procedure is Bayesian and is based on Markov Chain Monte Carlo methods. We asses the performance of the proposed measure both with simulated and actual data.
Keywords: Contagion; Gibbs sampling; heteroskedasticity; omitted variable (search for similar items in EconPapers)
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http://www.ivie.es/downloads/docs/wpasad/wpasad-2003-20.pdf Fisrt version / Primera version, 2003 (application/pdf)
Working Paper: Measuring contagion with a Bayesian, time-varying coefficient model (2003)
Working Paper: Measuring Contagion with a Bayesian Time-Varying Coefficient Model (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2003-20
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