Fast estimation of a large TVP-VAR model with score-driven volatilities
Tingguo Zheng, Shiqi Ye, Yongmiao Hong
| Year of publication: |
2023
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|---|---|
| Authors: | Zheng, Tingguo ; Ye, Shiqi ; Hong, Yongmiao |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 157.2023, p. 1-22
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| Subject: | Large TVP-VAR model | Score-driven volatility | Equation-by-equation estimator | Smoothing estimation | Dynamic connectedness | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2023.104762 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014495380