Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924): Difference between revisions

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+heteroskedasticity
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+local scale
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+iteratively reweighted least squares
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+https://doi.org/10.1016/j.econlet.2014.03.004
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@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
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@@ Property / cites work @@
+Time Varying Structural Vector Autoregressions and Monetary Policy
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@@ Property / cites work @@
+Local scale models. State space alternative to integraded GARCH processes
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@@ Property / cites work @@
+Estimation of the parameters of a regression model with a multivariate t error variable
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@@ Property / cites work @@
+On singular Wishart and singular multivariate beta distributions
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@@ Property / cites work @@
+Bayesian Vector Autoregressions with Stochastic Volatility
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+Publication:397924