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~isPartOf:"Working paper series"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Markov chain"
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Search: subject_exact:"Vector error correction model"
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
2
Stochastic model specification in Markov switching vector error correction models
Hauzenberger, Niko
;
Huber, Florian
;
Pfarrhofer, Michael
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012507433
Saved in:
3
The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos
;
Bekiros, Stelios
;
Lucey, Brian M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
Saved in:
4
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
Saved in:
5
Regime-switching cointegration
Jochmann, Markus
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 35-48
Persistent link: https://www.econbiz.de/10011311202
Saved in:
6
Directional congestion and regime switching in a long memory model for electricity prices
Haldrup, Niels
(
contributor
); …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10003559004
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