Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924): Difference between revisions
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| Property / cites work: Multivariate Stochastic Variance Models / rank | |||
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| Property / cites work: Time Varying Structural Vector Autoregressions and Monetary Policy / rank | |||
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| Property / cites work: Local scale models. State space alternative to integraded GARCH processes / rank | |||
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| Property / cites work: Estimation of the parameters of a regression model with a multivariate t error variable / rank | |||
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| Property / cites work: On singular Wishart and singular multivariate beta distributions / rank | |||
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| Property / cites work: Bayesian Vector Autoregressions with Stochastic Volatility / rank | |||
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Latest revision as of 21:04, 8 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility |
scientific article |
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Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (English)
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12 August 2014
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heteroskedasticity
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local scale
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iteratively reweighted least squares
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