Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

DOI10.1111/JTSA.12271MaRDI QIDQ4606959zbMATHOpenAlexFDO

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

zbMATH Keywords

random coefficient modelstime varying estimation

Mathematics Subject Classification ID

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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Cited in

(14)

• Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
• Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
• Time-varying instrumental variable estimation
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Inference on stochastic time-varying coefficient models
• Estimation of time-varying covariance matrices for large datasets
• Time-varying cointegration with an application to the UK Great Ratios
• Choosing between persistent and stationary volatility
• 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
• Time-varying Lasso
• Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
• Long memory, realized volatility and heterogeneous autoregressive models

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