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Structural vector autoregressions with smooth transition in variances
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Journal of economic dynamics & control 84 (2017), pp. 43-57
Persistent link: https://www.econbiz.de/10011916171
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - In: Journal of economic dynamics & control 113 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012502522