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  1. 学術雑誌論文
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Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

http://hdl.handle.net/20.500.12000/38711
http://hdl.handle.net/20.500.12000/38711
5fe456eb-c095-4a40-936c-2e2c51fd0647
名前 / ファイル ライセンス アクション
EB-15-V35-I3-P190.pdf EB-15-V35-I3-P190.pdf
Item type デフォルトアイテムタイプ(フル)(1)
公開日 2018-03-09
タイトル
タイトル Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks
言語 en
作成者 Sugita, Katsuhiro

× Sugita, Katsuhiro

en Sugita, Katsuhiro

アクセス権
アクセス権 open access
アクセス権URI http://purl.org/coar/access_right/c_abf2
内容記述
内容記述タイプ Other
内容記述 In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.
内容記述タイプ Other
内容記述 論文
出版者
言語 en
出版者 Economics Bulletin
言語
言語 eng
資源タイプ
資源タイプ journal article
資源タイプ識別子 http://purl.org/coar/resource_type/c_6501
出版タイプ
出版タイプ VoR
出版タイプResource http://purl.org/coar/version/c_970fb48d4fbd8a85
識別子
識別子 http://hdl.handle.net/20.500.12000/38711
識別子タイプ HDL
関連情報
関連識別子
識別子タイプ URI
関連識別子 http://www.accessecon.com/pubs/EB
収録物識別子
収録物識別子タイプ ISSN
収録物識別子 1545-2921
収録物名
言語 en
収録物名 Economics Bulletin
書誌情報
巻 35, 号 3, p. 1867-1873
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