Ching-Wai (Jeremy) Chiu; Mumtaz, Haroon; Pinter, Gabor - School of Economics and Finance, Queen Mary - 2014
-distribution with a time-varying variance. We find that in terms of in-sample fit, the VAR model that features both stochastic … volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …