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methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
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methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
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