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Keywords: Time-varying parameter (TVP) regression
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Journal Articles
Journal:
Review of Behavioral Finance
Review of Behavioral Finance (2024) 16 (5): 925–957.
Published: 04 June 2024
..., livestock, energy and grains sectors. The applied methodology combines static and dynamic approaches by incorporating cross-sectional absolute deviations (CSAD) and a time-varying parameter (TVP) regression model extended by Markov Chain Monte Carlo (MCMC) sampling to adequately reflect the complexity...
