From general State-Space to VARMAX models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Judith Eidenberger & Benjamin Neudorfer & Michael Sigmund & Ingrid Stein, 2013. "Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 62-81.
- repec:kuk:journl:v:50:y:2017:i:3:p:299-336 is not listed on IDEAS
- Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
- Dr. Michael Sigmund & Dr. Ingrid Stein, 2017.
"What predicts Financial (In)Stability? A Bayesian Approach,"
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- Eidenberger, Judith & Neudorfer, Benjamin & Sigmund, Michael & Stein, Ingrid, 2014. "What predicts financial (in)stability? A Bayesian approach," Discussion Papers 36/2014, Deutsche Bundesbank.
More about this item
KeywordsState-Space; VARMAX models; Canonical forms; Echelon.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
- NEP-ECM-2010-12-23 (Econometrics)
- NEP-ETS-2010-12-23 (Econometric Time Series)
- NEP-ORE-2010-12-23 (Operations Research)
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