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