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person:"Kapetanios, George"
~isPartOf:"Journal of economic dynamics & control"
~language:"eng"
~person:"Hong, Yongmiao"
~person:"Leybourne, Stephen James"
~person:"Timmermann, Allan"
~subject:"Structural break"
~subject:"Volatility"
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Kapetanios, George
Hong, Yongmiao
Leybourne, Stephen James
Timmermann, Allan
Chan, Joshua
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Altansukh, Gantungalag
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Fast estimation of a large TVP-VAR model with score-driven volatilities
Zheng, Tingguo
;
Ye, Shiqi
;
Hong, Yongmiao
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014495380
Saved in:
2
Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of economic dynamics & control
55
(
2015
),
pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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