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Generalized binary vector autoregressive processes

Published:2021-09-08 Issue:2 Volume:43 Page:285-311
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:Journal Time Series Analysis

Author:

Jentsch Carsten¹^ORCID,Reichmann Lena¹²

Affiliation:

1. Department of Statistics TU Dortmund University Dortmund Germany

2. Mathematical Institute University of Mannheim Mannheim Germany

Funder

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12614

Reference29 articles.

1. BellégoC FerraraL.2009. Forecasting Euro‐area recessions using time‐varying binary response models for financial variables. Working papers Banque de France 259.

2. Basic Properties of Strong Mixing Conditions. A Survey and Some Open Questions

3. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

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