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A generalised stochastic volatility in mean
VAR
: an updated algorithm
Mumtaz, Haroon
-
2020
In this note we present an updated algorithm to estimate the
VAR
with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290
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2
A generalised stochastic volatility in mean
VAR
Mumtaz, Haroon
-
2018
This paper introduces a
VAR
with stochastic volatility in mean where the residuals of the volatility equations and the …
Persistent link: https://www.econbiz.de/10011812167
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