• Graduate program
  • Research
  • Summer School
  • Events
    • Summer School
      • Sustainable Finance
      • Applied Public Policy Evaluation
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From preference to choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Alumni
  • Magazine

21-080/III - Moments, Shocks and Spillovers in Markov-switching VAR Models

  • Authors
    Dick van Dijk, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam
  • Publication date
    September 14, 2021
  • Keywords
    Markov-switching VAR, moments, impulse response analysis, bull and bear markets
  • JEL
    C32, C58, G01, G17
Download here