Fast estimation of a large TVP-VAR model with score-driven volatilities (Q6556130)
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scientific article; zbMATH DE number 7865852
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast estimation of a large TVP-VAR model with score-driven volatilities |
scientific article; zbMATH DE number 7865852 |
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Fast estimation of a large TVP-VAR model with score-driven volatilities (English)
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17 June 2024
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large TVP-VAR model
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score-driven volatility
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equation-by-equation estimator
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smoothing estimation
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dynamic connectedness
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