Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
Year of publication: |
2014-05
|
---|---|
Authors: | Morana, Claudio |
Institutions: | Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS), Facoltà di Economia |
Subject: | long and short memory | structural breaks | common factors | principal components analysis | fractionally integrated heteroskedastic factor vector autoregressive model |
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