A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Year of publication: |
2023
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Authors: | Soave, Gian Paulo |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 4, p. 397-431
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Subject: | Bayesian threshold hierarchical VAR | Emerging markets | financial shocks | uncertainty shocks | Schwellenländer | Emerging economies | Schock | Shock | VAR-Modell | VAR model | Risiko | Risk | Bayes-Statistik | Bayesian inference | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Wirkungsanalyse | Impact assessment | Schätzung | Estimation | Volatilität | Volatility | Risikomaß | Risk measure |
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