Testing for identification in SVAR-GARCH models
Year of publication: |
December 2016
|
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Authors: | Lütkepohl, Helmut ; Milunovich, George |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 73.2016, p. 241-258
|
Subject: | Structural vector autoregression | Conditional heteroskedasticity | GARCH | Identification via heteroskedasticity | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Zeitreihenanalyse | Time series analysis |
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