Measuring international uncertainty using global vector autoregressions with drifting parameters
Michael Pfarrhofer
| Year of publication: |
2023
|
|---|---|
| Authors: | Pfarrhofer, Michael |
| Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1469-8056, ZDB-ID 1501533-6. - Vol. 27.2023, 3, p. 770-793
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| Subject: | Bayesian state-space models | factor stochastic volatility in mean | global-local shrinkage prior | multi-country | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Theorie | Theory | Welt | World | Volatilität | Volatility | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1365100521000663 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014247550