Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
DOI10.1111/JTSA.12271zbMATH Open1392.62287OpenAlexW2257622683MaRDI QIDQ4606959FDOQ4606959
Authors: L. Giraitis, Tony Yates, George Kapetanios 
Publication date: 9 March 2018
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/29584
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Dynamic stochastic general equilibrium theory (91B51)
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- Time-varying cointegration with an application to the UK Great Ratios
- Estimation of time-varying covariance matrices for large datasets
- Choosing between persistent and stationary volatility
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
- Time-varying instrumental variable estimation
- Inference on stochastic time-varying coefficient models
- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Time-varying Lasso
- Long memory, realized volatility and heterogeneous autoregressive models
- A quasi-Bayesian local likelihood approach to time varying parameter VAR models
- The ZD-GARCH model: a new way to study heteroscedasticity
- The time-varying effect of fiscal policy on inflation: evidence from historical US data
- Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
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