VAR forecasting under misspecification
From MaRDI portal
Publication:265016
DOI10.1016/j.jeconom.2004.08.009zbMath1337.62296MaRDI QIDQ265016
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.08.009
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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