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Higher order moemnts of Markov...
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Structural macroeconomic analysis for dynamic factor models
Cavicchioli, Maddalena
- In:
Rivista di politica economica
99/100
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2010/2011
)
10/12
,
pp. 39-69
Persistent link: https://www.econbiz.de/10009524346
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Spectral density of Markov-switching VARMA models
Cavicchioli, Maddalena
- In:
Economics letters
121
(
2013
)
2
,
pp. 218-220
Persistent link: https://www.econbiz.de/10010346322
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3
Likelihood ratio test and information criteria for Markov switching var models : an application to the Italian macroeconomy
Cavicchioli, Maddalena
- In:
Italian economic journal
1
(
2015
)
3
,
pp. 315-332
Persistent link: https://www.econbiz.de/10011544821
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4
Autocovariance and linear transformations of Markov switching VARMA processes
Cavicchioli, Maddalena
- In:
Central European journal of economic modelling and …
6
(
2014
)
4
,
pp. 275-289
Persistent link: https://www.econbiz.de/10010503008
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5
A matrix approach to the Beveridge-Nelson decomposition of Markov-switching processes with applications to business cycle
Cavicchioli, Maddalena
- In:
Applied economics letters
28
(
2021
)
19
,
pp. 1648-1655
Persistent link: https://www.econbiz.de/10012652565
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6
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
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Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Cavicchioli, Maddalena
- In:
Computational economics
55
(
2020
)
1
,
pp. 61-86
Persistent link: https://www.econbiz.de/10012222592
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8
Determining the number of regimes in Markov-switching VAR and VMA models
Cavicchioli, Maddalena
-
2013
Persistent link: https://www.econbiz.de/10011629915
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9
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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10
Impulse response function analysis for Markov switching VAR models
Cavicchioli, Maddalena
- In:
Economics letters
232
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014464479
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