Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Year of publication: |
2014
|
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Authors: | Lütkepohl, Helmut ; Velinov, Anton |
Publisher: |
Berlin : SFB 649, Economic Risk |
Subject: | Vector autoregression | heteroskedasticity | vector GARCH | conditional heteroskedasticity | Markov switching model | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Theorie | Theory | Kointegration | Cointegration | Volatilität | Volatility |
Extent: | Online-Ressource (28 S.) graph. Darst. |
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Series: | SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2014-009 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/91585 [Handle] |
Classification: | C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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Lütkepohl, Helmut, (2014)
-
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut, (2014)
-
Lütkepohl, Helmut, (2016)
- More ...
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Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut, (2014)
-
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut, (2014)
-
Lütkepohl, Helmut, (2016)
- More ...