Guidolin, Massimo (contributor); Ono, Sadayuki (contributor) - 2005
attracting
the attention of a wide range of researchers in economics and finance at least since the late 1970s. Against
the …,
real industrial production growth, and a measure of real money growth). Heteroskedasticity may be
accounted for by making … the covariance matrix a function of the regime. We find evidence of four regimes
and of time-varying covariances. The best …