Specification tests for non-Gaussian structural vector autoregressions (Q6664656)
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scientific article; zbMATH DE number 7968521
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| English | Specification tests for non-Gaussian structural vector autoregressions |
scientific article; zbMATH DE number 7968521 |
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Specification tests for non-Gaussian structural vector autoregressions (English)
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16 January 2025
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consistent tests
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copulas
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finite normal mixtures
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independence tests
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pseudo maximum likelihood estimators
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volatility indices
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