A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank

Keyphrases

• Bayesian Approach 100%
• Bayesian Hypothesis Testing 50%
• Cointegrating Rank 100%
• Cointegrating Relationships 50%
• Cointegration 50%
• Cointegration Rank 100%
• Data Market 50%
• Equity Markets 50%
• Fisher Effect 50%
• Matrix Rank 50%
• Modeling Time 100%
• Multivariate Model 50%
• Non-stationarity 50%
• Observed Behavior 50%
• Stationarity 50%
• Time-varying Cointegration 100%

Economics, Econometrics and Finance

• Bayesian 100%
• Fisher Effect 50%