ShanghaiTech SEM Working Paper No. 2018-003
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 innite hidden Markov model. Our model has two advantages over the existing approaches in the literatures...
Keywords: hierarchical Dirichlet process prior, beam sampling, Markov switching, MCMC
Date Written: April 2016