Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Year of publication: |
2011
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Authors: | Nakajima, Jouchi |
Published in: |
Monetary and economic studies. - Tokyo : [Verlag nicht ermittelbar], ISSN 0288-8432, ZDB-ID 878438-3. - Vol. 29.2011, p. 107-142
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Subject: | VAR-Modell | VAR model | Volatilität | Volatility | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Geldpolitik | Monetary policy | Zustandsraummodell | State space model | Schätzung | Estimation | Japan |
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