18-088/III - A Time-Varying Parameter Model for Local Explosions

• Authors
  Francisco (F.) Blasques, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Marc Nientker, VU Amsterdam
• Publication date
  November 16, 2018

• Keywords
  bubbles, observation driven models, noncausal models, stationary, ergodic, consistency, asymptotic normality, exchange rates
• JEL
  C22, C58, G10