Should I stay or should I go? : a latent threshold approach to large-scale mixture innovation models
Year of publication: |
2018
|
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Authors: | Huber, Florian ; Kastner, Gregor ; Feldkircher, Martin |
Publisher: |
[Salzburg] : University of Salzburg |
Subject: | Time-varying parameter vector autoregression with stochastic volatility (TVP-VARSV) | Change point model | Structural breaks | Term structure of interest rates | Monetary policy | R package threshtvp | Zinsstruktur | Yield curve | Theorie | Theory | VAR-Modell | VAR model | Strukturbruch | Structural break | Geldpolitik | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
Extent: | 1 Online-Ressource (circa 36 Seiten) Illustrationen |
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Series: | Working papers in economics. - Salzburg : University of Salzburg, ZDB-ID 2864893-6. - Vol. no. 2018, 05 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/201673 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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