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: https://orcid.org/0000-0002-6091-378X and Potter, Simon M.;-
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Item type: Monograph(Discussion paper) ID code: 67933 Dates: DateEventOctober 2010PublishedNotes: 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). Keywords: Bayesian analysis, liquidity risk, credit risk, financial crisis, Bayesian estimation, Gibbs sampler, Economic Theory, Economics, Econometrics and Finance (miscellaneous) Subjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 21 May 2019 14:28 Last modified: 01 Nov 2023 09:07 URI: https://strathprints.strath.ac.uk/id/eprint/67933
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