Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

DOI10.1016/j.jeconom.2024.105750MaRDI QIDQ6664649

Julia Schaumburg, Siem Jan Koopman, Paolo Gorgi

Publication date: 16 January 2025

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

zbMATH Keywords

Kalman filtertime-varying parametersdynamic factor modelvector autoregressive modelgeneralized autoregressive conditional heteroskedasticityorthogonal impulse response functions

Mathematics Subject Classification ID

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

Cites Work

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