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~institution:"Tinbergen Instituut"
~subject:"regime switching"
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regime switching
Bayesian analysis
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credit risk
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exchange rate regime
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phase shifts
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regime-switching models
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Calvori, Francesco
1
Creal, Drew
1
Klaassen, Pieter
1
Koopman, Siem Jan
1
Lucas, Andre
1
Lucas, André
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Tinbergen Instituut
C.E.P.R. Discussion Papers
7
Society for Computational Economics - SCE
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Banque de France
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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HAL
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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China Economics and Management Academy, Central University of Finance and Economics (CUFE)
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Crawford School of Public Policy, Australian National University
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Tinbergen Institute Discussion Papers
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Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
-
Tinbergen Instituut
-
2014
parameter dynamics. The new test has higher and more stable power against alternatives with frequent
regime
switches or with non …
Persistent link: https://www.econbiz.de/10011255854
Saved in:
2
Discrete versus Continuous State Switching Models for Portfolio Credit Risk
Lucas, André
;
Klaassen, Pieter
-
Tinbergen Instituut
-
2003
in the literature. Given these limited correlations, we conclude that care has to be taken when discrete state
regime
…
Persistent link: https://www.econbiz.de/10011256882
Saved in:
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