Analysis Of The Likelihood Function For Markov-Switching Var(Ch) Models
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- Cavicchioli, Maddalena, 2017. "Asymptotic Fisher information matrix of Markov switching VARMA models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 124-135.
- Cavicchioli, Maddalena, 2024. "A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- Maddalena Cavicchioli, 2020. "Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 61-86, January.
- Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
- Cavicchioli, Maddalena, 2023. "Impulse response function analysis for Markov switching var models," Economics Letters, Elsevier, vol. 232(C).
- BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018.
"Volatility spillover shifts in global financial markets,"
Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
- Ahmed Bensaïda & Houda Litimi & Oussama Abdallah, 2018. "Volatility spillover shifts in global financial markets," Post-Print hal-02869496, HAL.
- Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Cavicchioli, Maddalena, 2023. "Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
- Maddalena Cavicchioli, 2020. "A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 129-139, March.
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