A Bayesian analysis of a variance decomposition for stock returns

Journal of Empirical Finance

Volumn 10, Issue 5, 2003, Pages 583-601

  Hollifield, Burton ^a   Koop, Gary ^b,d   Li, Kai ^c,d  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^d NONE   (Canada)

Author keywords

Initial conditions; Nonlinear functions; Priors; Vector autoregression

Indexed keywords

EID: 0041340847     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(03)00006-9     Document Type: Article

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