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  • Search: subject:"Random coefficient vector autoregression"
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Cointegration 1 Einheitswurzeltest 1 Estimation 1 Estimation theory 1 Kointegration 1 Macro-finance term structure model 1 Persistence problem 1 Random coefficient vector autoregression 1 Schätztheorie 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Unit root test 1 Unit roots 1 VAR model 1 VAR-Modell 1 Volatility 1 Volatility-induced stationarity 1 Volatilität 1 Yield curve 1 Zeitreihenanalyse 1 Zinsstruktur 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Hansen, Anne Lundgaard 1
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Journal of banking & finance 1
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ECONIS (ZBW) 1
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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
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