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R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark; Zito, John - In: Journal of economic dynamics & control 113 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012502544
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark - In: Journal of econometrics 227 (2022) 2, pp. 498-505
Persistent link: https://www.econbiz.de/10013442175