PO Box 123
University of Technology, Sydney
fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data
Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency
intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response
generalized impulse response, fractionally integrated VAR model, long memory
Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection
Oil/food price uncertainty, crude oil, edible oil, Multivariate GARCH, VIRF
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