Galyna Grynkiv

University of Western Ontario

Department of Economics

University of Western Ontario

London, Ontario N6A 5B8

Canada

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Stationary Threshold Vector Autoregressive Models

Number of pages: 42 Posted: 18 Aug 2018
Galyna Grynkiv and Lars Stentoft
University of Western Ontario and Department of Economics, University of Western Ontario
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Abstract:

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Asset Price Bubbles, Explosive Regimes, Multivariate Nonlinear Time Series, Steady State Distributions, TVAR Models