Structural vector autoregressions with smooth transition in variances
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Publication:77370
DOI10.1016/j.jedc.2017.09.001zbMath1401.91505OpenAlexW2751707384MaRDI QIDQ77370
Aleksei Netšunajev, Helmut Lütkepohl, Aleksei Netšunajev, Helmut Lütkepohl
Publication date: November 2017
Published in: Journal of Economic Dynamics and Control, Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2017.09.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)
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