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.

  • Item type:Monograph(Discussion paper)
    ID code:67933
    Dates:
    Date
    Event
    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:09 Apr 2024 04:42
    URI:https://strathprints.strath.ac.uk/id/eprint/67933
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