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~person:"Luetkepohl, Helmut"
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Markov regime switching model
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mixed normal distribution
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structural vector autoregression
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vector error correction model
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Cointegration
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Börsenkurs
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Luetkepohl, Helmut
Ma, Feng
8
Serletis, Apostolos
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Lutz, Benjamin Johannes
7
Pigorsch, Uta
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Rotfuß, Waldemar
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Xu, Libo
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Blazsek, Szabolcs
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Franses, Philip Hans
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Janczura, Joanna
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Shi, Yanlin
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Weron, Rafal
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Bilgili, Faik
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Chang, Kuang-Liang
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Ho, Kin-Yip
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Legerstee, Rianne
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Chourdakis, Kyriakos
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Doğan, İbrahim
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Feld, Lars P.
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Galagedera, Don U.A.
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Kosater, Peter
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Köhler, Ekkehard A.
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Lanne, Markku
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Leung, Charles Ka Yui
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Spagnolo, Fabio
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Tzavalis, Elias
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Bautista, Carlos C.
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Bianchi, Daniele
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Bohl, Martin T.
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Chen, Jieting
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Chen, Nan-Kuang
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Chevallier, Julien
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Cifarelli, Giulio
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Dibooglu, Sel
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Endres, Sylvia
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Escribano, Álvaro
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Goutte, Stéphane
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Guidolin, Massimo
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Halbheer, Daniel
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Holmes, Mark J.
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Department of Economics, European University Institute
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CESifo
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Structural Vector Autoregressions with Markov Switching
Lanne, Markku
;
Luetkepohl, Helmut
;
Maciejowska, Katarzyna
-
Department of Economics, European University Institute
-
2009
It is argued that in structural vector autoregressive (SVAR) analysis a
Markov
regime
switching
(MS) property can be …
Persistent link: https://www.econbiz.de/10005697711
Saved in:
2
Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis
Lanne, Markku
;
Luetkepohl, Helmut
-
2008
analysis. We exploit
Markov
regime
switching
models to identify shocks in cointegrated structural vector autoregressions and …
Persistent link: https://www.econbiz.de/10010264444
Saved in:
3
Stock Prices and Economic Fluctuations:A Markov Switching Structural VectorAutoregressive Analysis
Lanne, Markku
;
Luetkepohl, Helmut
-
CESifo
-
2008
analysis. We exploit
Markov
regime
switching
models to identify shocks in cointegrated structural vector autoregressions and …
Persistent link: https://www.econbiz.de/10005405830
Saved in:
4
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
Lanne, Markku
;
Luetkepohl, Helmut
-
Department of Economics, European University Institute
-
2008
analysis. We exploit
Markov
regime
switching
models to identify shocks in cointegrated structural vector autoregressions and …
Persistent link: https://www.econbiz.de/10005744277
Saved in:
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