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18-088/III - A Time-Varying Parameter Model for Local Explosions


  • Authors
    Francisco (F.) Blasques, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Marc Nientker, VU Amsterdam
  • Publication date
    November 16, 2018
  • Keywords
    bubbles, observation driven models, noncausal models, stationary, ergodic, consistency, asymptotic normality, exchange rates
  • JEL
    C22, C58, G10