Three Essays of Applied Bayesian Modeling: Financial Return Contagion, Benchmarking Small Area Estimates, and Time-Varying Dependence
This dissertation is composed of three chapters, each an application of Bayesian statistical models to particular research questions. In Chapter 1, we evaluate systemic risk exposure of financial institutions. Building upon traditional regime switching approaches, we propose a network model for vola...
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| Language: | en_US |
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Harvard University
2013
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| Online Access: | http://dissertations.umi.com/gsas.harvard:10912 http://nrs.harvard.edu/urn-3:HUL.InstRepos:11124829 |