Infinite-variance, alpha-stable shocks in monetary SVAR
Year of publication: |
2012
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Authors: | Hannsgen, Greg |
Published in: |
International review of applied economics. - Abingdon : Routledge, ISSN 0269-2171, ZDB-ID 626429-3. - Vol. 26.2012, 6, p. 755-786
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Subject: | vector autoregression | Lévy-stable distribution | infinite variance | monetary policy shocks | structural identification | Geldpolitik | Monetary policy | Schock | Shock | VAR-Modell | VAR model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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