Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market
Year of publication: |
2014-06
|
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Authors: | Lütkepohl, Helmut ; Netsunajev, Aleksei |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Structural vector autoregressions | heteroskedasticity | smooth transition VAR models | identification via heteroskedasticity |
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