Markov Switching Vector Autoregressions
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This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have
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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
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This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advance
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Pages: 297
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Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents r