Fat-tails in VAR models
Year of publication: |
2014
|
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Authors: | Chiu, Ching Wai Jeremy ; Mumtaz, Haroon ; Pinter, Gabor |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | Bayesian VAR | Fat tails | Stochastic volatility |
Series: | Working Paper ; 714 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 782705928 [GVK] hdl:10419/97354 [Handle] RePEc:qmw:qmwecw:wp714 [RePEc] |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
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Ching-Wai (Jeremy) Chiu, (2014)
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Chiu, Ching Wai Jeremy, (2014)
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Cúrdia, Vasco, (2012)
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