Maximum likelihood estimation of a TVP-VAR
Guilherme V. Moura, Mateus R. Noriller
| Year of publication: |
2019
|
|---|---|
| Authors: | Moura, Guilherme Valle ; Noriller, Mateus R. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 174.2019, p. 78-83
|
| Subject: | Maximum likelihood estimation | Multivariate stochastic volatility | Time-varying parameters VAR | Wishart distribution | Maximum-Likelihood-Schätzung | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Volatilität | Volatility | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2018.10.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012121029