Technical Appendix to : Understanding Liquidity and Credit Risks in the Financial Crisis

Gefang, Deborah and Koop, Gary and Potter, Simon M. (2010) Technical Appendix to : Understanding Liquidity and Credit Risks in the Financial Crisis. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

This technical appendix to the discussion paper provides a detailed description of the Gibbs sampler for Bayesian estimation, the draw parameters for the measurement and latent risk equations, as well as priors and prior sensitivity analysis.

ORCID iDs

Gefang, Deborah, Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X and Potter, Simon M.;
  • Item type:Monograph(Discussion paper)
    ID code:67933
    Dates:
    Date
    Event
    31 October 2010
    Published
    Notes:This is a technical appendix to discussion paper Understanding Liquidity and Credit Risks in the financial crisis, published in volume 11, issue 14 of the Strathclyde Discussion Papers in Economics (2011).
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:21 May 2019 14:28
    Last modified:11 Nov 2024 16:04
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/67933
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