The Tobit cointegrated vector autoregressive model : an application to the currency market
Year of publication: |
2020
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Authors: | Grabowski, Wojciech ; Welfe, Aleksander |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 89.2020, p. 88-100
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Subject: | Censored variables | Cointegration | Contagion effect | Exchange rate models | Kointegration | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Devisenmarkt | Foreign exchange market | Schätzung | Estimation |
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