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Testing the Term Structure of Interest Rates from a Stationary Switching Regime VAR (forthcoming Journal of Economic Dynamics and Control, 1994)

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Author Info
Sola, M.
Driffill, J.

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Publisher Info
Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 9202.

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Date of creation: 01 Jan 1992
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Handle: RePEc:stn:sotoec:9202

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  1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  3. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis. [Downloadable!]
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