Complex Systems in Finance and Econometrics

2011 Edition
| Editors: Robert A. Meyers (Editor-in-Chief)

Bayesian Methods in Non-linear Time Series

  • Oleg Korenok
Reference work entry
DOI: https://doi.org/10.1007/978-1-4419-7701-4_4

Article Outline

Glossary

Definition of the Subject

Introduction

Threshold Autoregressive Model

Smooth Transition Autoregressive Model

Markov-Switching Model

Future Directions

Acknowledgments

Bibliography

Keywords

Business Cycle Real Exchange Rate Posterior Density Marginal Likelihood Prior Density 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Notes

Acknowledgments

The author is grateful to Bruce Mizrach, the Finance and Econometrics Section editor, as well as to David Harless, Carol S. Lehr, Ming Lo, Stan Radchenko, Philip Rothman, and Tara Sinclair for many helpful comments.

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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  • Oleg Korenok
    • 1
  1. 1.Department of EconomicsVCU School of BusinessRichmondUSA