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Dynamic Mixture Vector Autoregressions with Score-Driven Weights (replication...
Dataset for "Dynamic mixture vector autoregressions with score-driven weights" by Dennis Umlandt, Matthias Neuenkirch and Alexander Georges Gretener (Journal of Applied... -
The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of...
This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR)...
