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State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a ...
Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation.... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...
