Identifying Structural Vector Autoregressions Via Changes in Volatility
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Publication:3295727
DOI10.1108/S0731-9053(2013)0000031005zbMath1443.62221MaRDI QIDQ3295727
Publication date: 10 July 2020
Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)
conditional heteroskedasticityMarkov switching modelvector autoregressionheteroskedasticityvector GARCH
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)
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