 | Measuring Contagion with a Bayesian Time-Varying Coefficient Model Author/Editor: Alessandro Rebucci, Matteo Ciccarelli. Release Date:September, 2003 We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of more...
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| Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System Author/Editor: Matteo Ciccarelli, Alessandro Rebucci. Release Date:May, 2003 This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the more...
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