Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production Working Papers uri icon

publication date

  • 2019

series title

  • Working paper. Economics

series number

  • 19-16

keywords

  • World crude oil production; United States industrial production; Dynamic conditional
    score models; Score-driven multivariate stochastic location and stochastic seasonality models; Markov regime-switching models