Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
type: Item
instance of: scholarly article
title: Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
zbMATH Open document ID: 1401.91340
author: Pu Chen
author: Willi Semmler
publication date: 2018-08-13T00:00:00Z
full work available at URL: NSSR WP 082017.pdf
Mathematics Subject Classification ID: 91B64
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6916954
zbMATH Keywords: financial stress
zbMATH Keywords: macro dynamics
zbMATH Keywords: MRGVAR
MaRDI profile type: Publication
OpenAlex ID: W2583190580
cites work: Computing the nearest correlation matrix--a problem from finance
cites work: Impulse response analysis in nonlinear multivariate models
cites work: Testing and Modeling Threshold Autoregressive Processes
Wikidata QID: Q129990473
DOI: 10.1016/J.JEDC.2018.03.001
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916954