Structural vector autoregressions with heteroskedasticity : a review of different volatility models
Lütkepohl, Helmut
;
Netšunajev, Aleksei
Econometrics and statistics
2017
/
p. 2-18 : ill
https://doi.org/10.1016/j.ecosta.2016.05.001
Structural vector autoregressions with smooth transition in variances
Lütkepohl, Helmut
;
Netšunajev, Aleksei
Journal of economic dynamics and control
2017
/
p. 43-57 : ill
https://doi.org/10.1016/j.jedc.2017.09.001
https://www.scopus.com/sourceid/28976
https://www.scopus.com/record/display.uri?eid=2-s2.0-85031724410&origin=inward&txGid=53197fc30e53d2cf27bb6192d4480c7c
https://jcr.clarivate.com/jcr-jp/journal-profile?journal=J%20ECON%20DYN%20CONTROL&year=2023
https://www.webofscience.com/wos/woscc/full-record/WOS:000415780100003