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Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts
Chang Jin Kim, Jaeho Kim
Department of Economics
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Contribution to journal
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Article
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peer-review
5
Citations (Scopus)
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Dive into the research topics of 'Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts'. Together they form a unique fingerprint.
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Mathematics
Regime-switching Model
71%
ARMA Model
64%
Interest Rates
61%
Absorbing
54%
Bayesian inference
52%
Structural Breaks
39%
Volatiles
38%
Metropolis-Hastings Algorithm
32%
Regime Switching
31%
Unit Root
31%
Moving Average
28%
Econometrics
27%
Persistence
24%
Posterior distribution
24%
Efficient Algorithms
21%
Term
13%
Business & Economics
ARMA Model
100%
Bayesian Inference
71%
Regime Shift
61%
Regime Switching
55%
Metropolis-Hastings Algorithm
41%
Posterior Distribution
31%
Moving Average
27%
Unit Root
25%
Structural Breaks
24%
Persistence
22%
Econometrics
20%
Empirical Results
16%
Social Sciences
interest rate
66%
regime
34%
econometrics
18%
persistence
14%
literature
6%