摘要 : This paper investigates the relationship between the price of oil and real output in the United States in the context of a Markov regime switching, identified, structural GARCH-in-Mean VAR model with copulas. We use the copula met... 展开
作者 | Apostolos Serletis Libo Xu |
---|---|
作者单位 | |
期刊名称 | 《Empirical Economics》 |
页码/总页数 | 2501-2520 / 20 |
语种/中图分类号 | 英语 / F2 |
关键词 | Oil price uncertainty Markov regime-switching Dependence Copulae |
DOI | 10.1007/s00181-023-02432-8 |
馆藏号 | F-424 |