Large shocks vs. small shocks. (Or does size matter? May be so.)

DOI10.1016/J.JECONOM.2005.07.022zbMath1418.62323OpenAlexW2159364442MaRDI QIDQ291855

F. Blanchet-Sadri, M. Dambrine

Publication date: 10 June 2016

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

Full work available at URL: http://hdl.handle.net/10016/3229

zbMATH Keywords

persistenceshocksthreshold modelsasymmetriesnonlinear permanent-transitory decomposition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

The split-BREAK model ⋮ Asymmetric vector moving average models: estimation and testing

Uses Software

• bootlib

Cites Work

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