Vector autoregression models with skewness and heavy tails
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Publication:6106642
DOI10.1016/j.jedc.2022.104580zbMath1521.62214arXiv2105.11182OpenAlexW3164697227MaRDI QIDQ6106642
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Publication date: 3 July 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.11182
stochastic volatilityMarkov chain Monte Carlovector autoregressiongeneralized hyperbolic skew Student's \(t\) distributionskewness and heavy tails
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)
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