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Title:On using Markov switching time series models to verify structural identifying restrictions and to assess public debt sustainability Author(s):VELINOV, Anton StoyanovDate:2013Citation:
- Florence : European University Institute, 2013
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:The first paper in this thesis deals with the issue of whether there are bubble components in stock prices. This is joint research with Wenjuan Chen (Free Universtiy Berlin). We investigate existing bivariate structural ...
Title:Structural vector autoregressions with Markov switching : identification via heteroskedasticity Author(s):NETŠUNAJEV, AlekseiDate:2013Citation:
- Florence : European University Institute, 2013
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this ...
Title:Three Essays in Time Series Econometrics Author(s):KASCHA, ChristianDate:2007Citation:
- Florence, European University Institute, 2007
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers ...