Time-varying vector autoregressive models with stochastic volatility
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Publication:5124768
DOI10.1080/02664760903406512OpenAlexW2092913121MaRDI QIDQ5124768
Publication date: 30 September 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760903406512
stochastic volatilitystate-space modelsmultivariate time seriesBayesian forecastingportfolio allocation
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Cites Work
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