A time-varying parameter model for local explosions

DOI10.1016/J.JECONOM.2021.05.008MaRDI QIDQ2116324zbMATH OpenOpenAlexFDO

Authors Francisco Blasques, Siem Jan Koopman, Marc Nientker

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://research.vu.nl/en/publications/911ae8c5-6f08-4cb1-b598-ee4d3587cbeb

zbMATH Keywords

asymptotic normalityconsistencyexplosive processesinvertibilityspeculative bubble

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(4)

• scientific article; zbMATH DE number 3994830 (Why is no real title available?)
• Stochastic properties of nonlinear locally-nonstationary filters
• Fast estimation of a large TVP-VAR model with score-driven volatilities
• Noncausal AR processes driven by causal GARCH volatility

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• psymonitor

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