Moments, shocks and spillovers in Markov-switching VAR models
Erik Kole, Dick van Dijk
| Year of publication: |
2023
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|---|---|
| Authors: | Kole, Erik ; Dijk, Dick van |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 236.2023, 2, p. 1-26
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| 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 | Aktienmarkt | Stock market | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105474 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014365495