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Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago

Taspinar, S; Dogan, O; Chae, JY; Bera, AK

Taspinar, S (corresponding author), CUNY, Dept Econ, Queens Coll, New York, NY 10021 USA.

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, ; ():

Abstract

In this study, we propose a spatial stochastic volatility model in which the latent log-volatility terms follow a spatial autoregressive process. Thou......

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