Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis (Q2175635)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis |
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Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis (English)
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29 April 2020
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volatility impulse response function (VIRF)
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independent component analysis (ICA)
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GARCH
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SVAR
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volatility causality
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