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DateTitle Authors
2009 A vector autoregressive model for electricity prices subject to long memory and regime switchingHaldrup, Niels / Nielsen, Frank S. / Nielsen, Morten Ørregaard
2013 Comparison of methods for constructing joint confidence bands for impulse response functionsLütkepohl, Helmut / Staszewska-Bystrova, Anna / Winker, Peter
2000 Causality and Regime Inference in a Markov Switching VARWarne, Anders
2002 An application of the analogy between vector ARCH and vector random coefficient autoregressive modelsHe, Changli / Teräsvirta, Timo
2000 Error correction models for fractionally cointegrated time seriesDittmann, Ingolf
2003 How wacky is the DAX? The changing structure of German stock market volatilityWerner, Thomas / Stapf, Jelena
2012 Effects of simultaneity on testing Granger-causality: A cautionary note about statistical problems and economic misinterpretationsWilde, Joachim
2015 Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility ModelsLuetkepohl, Helmut / Netšunajev, Aleksei
2013 Comparison of methods for constructing joint confidence bands for impulse response functionsLütkepohl, Helmut / Staszewska-Bystrova, Anna / Winker, Peter
2008 Bridging Economic Theory Models and the Cointegrated Vector Autoregressive ModelMøller, Niels Framroze

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