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.

[img]
Preview
Text (Gefang-etal-DPIE-2011-technical-appendix-to-understanding-liquidity-and-credit-risks-in-the-financial-crisis)
Gefang_etal_DPIE_2011_technical_appendix_to_understanding_liquidity_and_credit_risks_in_the_financial_crisis.pdf
Final Published Version

Download (309kB)| Preview

    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.