Identifying Structural Vector Autoregressions Via Changes in Volatility (Q3295727): Difference between revisions
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Revision as of 04:08, 15 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Identifying Structural Vector Autoregressions Via Changes in Volatility |
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Identifying Structural Vector Autoregressions Via Changes in Volatility (English)
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10 July 2020
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Markov switching model
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vector autoregression
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heteroskedasticity
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vector GARCH
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conditional heteroskedasticity
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