Large time-varying parameter VARs
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Publication:2453080
DOI10.1016/j.jeconom.2013.04.007zbMath1288.62127OpenAlexW2043889612MaRDI QIDQ2453080
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.gla.ac.uk/73719/1/73719.pdf
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)
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Uses Software
Cites Work
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