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Granger-causality in Markov sw...
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A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
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2
Unemployment and hysteresis : a nonlinear unobserved components approach
Pérez-Alonso, Alicia
;
Di Sanzo, Silvestro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
15
(
2011
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009515578
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3
Public debt and growth in the euro area : evidence from parametric and nonparametric Granger causality
Di Sanzo, Silvestro
;
Bella, Mariano
- In:
The B.E. journal of macroeconomics
15
(
2015
)
2
,
pp. 631-648
Persistent link: https://www.econbiz.de/10011449001
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4
Tax structure and economic growth : a panel cointegrated VAR analysis
Di Sanzo, Silvestro
;
Bella, Mariano
;
Graziano, Giovanni
- In:
Italian economic journal
3
(
2017
)
2
,
pp. 239-253
Persistent link: https://www.econbiz.de/10011732079
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5
Econometric measures of systemic risk in the finance and insurance sectors
Billio, Monica
;
Getmansky, Mila
;
Lo, Andrew W.
; …
-
2010
Persistent link: https://www.econbiz.de/10003995037
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6
Beta autoregressive transition Markov-switching models for business cycle analysis
Billio, Monica
;
Casarin, Roberto
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
15
(
2011
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009521858
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7
Backward/forward optimal combination of performance measures for equity screening
Billio, Monica
;
Caporin, Massimiliano
;
Costola, Michele
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 63-83
Persistent link: https://www.econbiz.de/10011539679
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8
Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
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9
Bayesian nonparametric sparse VAR models
Billio, Monica
;
Casarin, Roberto
;
Rossini, Luca
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 97-115
Persistent link: https://www.econbiz.de/10012303895
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10
An entropy-based early warning indicator for systemic risk
Billio, Monica
;
Casarin, Roberto
;
Costola, Michele
; …
- In:
Journal of international financial markets, …
45
(
2016
),
pp. 42-59
Persistent link: https://www.econbiz.de/10011690432
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