Inference in VARs with conditional heteroskedasticity of unknown form
Year of publication: |
March 2016
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Authors: | Brüggemann, Ralf ; Jentsch, Carsten ; Trenkler, Carsten |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 1, p. 69-85
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Subject: | VAR | Conditional heteroskedasticity | Mixing | Residual-based moving block bootstrap | Pairwise bootstrap | Wild bootstrap | Bootstrap-Verfahren | Bootstrap approach | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
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