Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
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- Markku Lanne & Helmut Lütkepohl, 2008. "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," CESifo Working Paper Series 2407, CESifo.
References listed on IDEAS
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- Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
- Paul Beaudry & Franck Portier, 2013. "News Driven Business Cycles: Insights and Challenges," NBER Working Papers 19411, National Bureau of Economic Research, Inc.
- Adél Bosch & Franz Ruch, 2013.
"An Alternative Business Cycle Dating Procedure for South Africa,"
South African Journal of Economics, Economic Society of South Africa, vol. 81(4), pages 491-516, December.
- Adel Bosch & Franz Ruch, 2012. "An Alternative Business Cycle Dating Procedure for South Africa," Working Papers 5210, South African Reserve Bank.
- Adél Bosch & Franz Ruch, 2012. "An alternative business cycle dating procedure for South Africa," Working Papers 267, Economic Research Southern Africa.
- Yukai Yang, 2014.
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2014-11, Department of Economics and Business Economics, Aarhus University.
- YANG, Yukai, 2014. "Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition," LIDAM Discussion Papers CORE 2014017, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
Keywords
Cointegration; Markov regime switching model; vector error correction model; structural vector autoregression; mixed normal distribution;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2009-01-17 (Business Economics)
- NEP-CBA-2009-01-17 (Central Banking)
- NEP-ECM-2009-01-17 (Econometrics)
- NEP-ETS-2009-01-17 (Econometric Time Series)
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