On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models
Year of publication: |
2018
|
---|---|
Authors: | Velinov, Anton |
Published in: |
Quantitative Finance and Economics. - Springfield : AIMS Press, ISSN 2573-0134. - Vol. 2.2018, 1, p. 106-126
|
Publisher: |
Springfield : AIMS Press |
Subject: | Markov switching model | Vector autoregression | Vector error correction | Heteroskedasticity | Stock prices |
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