A State Dependent Regime Switching Model of Dynamic Correlations
AbstractReplaced with revised version of paper 07/29/09.
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Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin with number 49370.
Date of creation: 2009
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dynamic correlations; regime switching; state dependent probabilities; thresholds; spillovers; Research Methods/ Statistical Methods;
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