Dynamic Mixture Vector Autoregressions with Score-Driven Weights
Year of publication: |
2023
|
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Authors: | Gretener, Alexander Georges ; Neuenkirch, Matthias ; Umlandt, Dennis |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | dynamic mixture models | generalized autoregressive score models | macro-finance linkages | nonlinear VAR |
Series: | CESifo Working Paper ; 10366 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1844623211 [GVK] hdl:10419/272010 [Handle] RePec:ces:ceswps:_10366 [RePEc] |
Classification: | C32 - Time-Series Models ; C34 - Truncated and Censored Models ; G17 - Financial Forecasting |
Source: |
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2023)
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2022)
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2022)
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2022)
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2022)
-
Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges, (2023)
- More ...