Moments, shocks and spillovers in Markov switching VAR models
Year of publication: |
[2021]
|
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Authors: | Dijk, Dick van ; Kole, Erik |
Publisher: |
Amsterdam, The Netherlands : Tinbergen Institute |
Subject: | Markov-switching VAR | moments | impulse response analysis | bull and bear markets | Schätzung | Estimation | Schock | Shock | VAR-Modell | VAR model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Aktienmarkt | Stock market | Börsenkurs | Share price | Volatilität | Volatility | Eurozone | Euro area |
Extent: | 1 Online-Ressource (circa 72 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2021, 080 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/248764 [Handle] |
Classification: | C32 - Time-Series Models ; c58 ; G01 - Financial Crises ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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