Specification tests for non-Gaussian structural vector autoregressions

DOI10.1016/J.JECONOM.2024.105803MaRDI QIDQ6664656FDOQ6664656

Authors: Dante Amengual, Gabriele Fiorentini, Enrique Sentana 

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

copulasconsistent testsindependence testsfinite normal mixturespseudo maximum likelihood estimatorsvolatility indices

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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