Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors (Q6664649)
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scientific article; zbMATH DE number 7968517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors |
scientific article; zbMATH DE number 7968517 |
Statements
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors (English)
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16 January 2025
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time-varying parameters
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vector autoregressive model
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dynamic factor model
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Kalman filter
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generalized autoregressive conditional heteroskedasticity
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orthogonal impulse response functions
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