Structural vector autoregressions with smooth transition in variances

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Authors: Helmut Lütkepohl, Aleksei Netšunajev

Journal title: Journal of Economic Dynamics and Control

Journal number: 84

Journal publisher: Elsevier BV

Published year: 2017

Published pages: 43-57

DOI identifier: 10.1016/j.jedc.2017.09.001

ISSN: 0165-1889