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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
    G17, C32, C58