Stock Returns and Real Growth: A Bayesian Nonparametric Approach

时间:2018-04-10浏览:34设置

ShanghaiTech SEM Working Paper No. 2018-003

  

Qiao Yang

ShanghaiTech University - School of Entrepreneurship and Management

  

Abstract

The study of the joint dynamic behaviour between stock market returns and real economic growth rates is an important empirical question in  nance and macroeconomics. This paper investigates their linkage by proposing a vector autoregressive in nite hidden Markov model. Our model has two advantages over the existing approaches in the literatures...


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Keywords: hierarchical Dirichlet process prior, beam sampling, Markov switching, MCMC

JEL Classification: C58, C14, C22, C11

  

Date Written: April 2016

  

Available at SSRN: http://ssrn.com/abstract=3159711

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