A time-varying parameter model for local explosions

DOI10.1016/j.jeconom.2021.05.008OpenAlexW3183190380MaRDI QIDQ2116324

Francisco Blasques, Siem Jan Koopman, Marc Nientker

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/911ae8c5-6f08-4cb1-b598-ee4d3587cbeb

zbMATH Keywords

consistencyasymptotic normalityinvertibilityspeculative bubbleexplosive processes

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Uses Software

• psymonitor

Cites Work

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