(Structural) VAR models with ignored changes in mean and volatility
Year of publication: |
2024
|
---|---|
Authors: | Demetrescu, Matei ; Salish, Nazarii |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 2, p. 840-854
|
Subject: | Forecasting practice | High-order autoregression | Identification | Nonstationarity | Structural breaks | Theorie | Theory | Strukturbruch | Structural break | VAR-Modell | VAR model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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