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Regime-Switching Global Vector Autoregressive Models

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References

2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
1998Regime Switches in Interest Rates172 cited
2001Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model167 cited
1999Nonlinear Time Series Modelling: An Introduction126 cited

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2018Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model34 cited
2013Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR29 cited
2016Debt Deflation, Financial Market Stress and Regime Change Evidence from Europe Using MRVAR16 cited

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