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.;