A generalised stochastic volatility in mean VAR

DOI10.1016/j.econlet.2018.08.044zbMath1402.91922OpenAlexW2889560328MaRDI QIDQ1626966

Haroon Mumtaz

Publication date: 22 November 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/184806

zbMATH Keywords

VARstochastic volatility in meanerror covariance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items

On fiscal and monetary policy-induced macroeconomic volatility dynamics

Cites Work

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