Structural vector autoregressions with heteroskedasticity : a review of different volatility models
author
Lütkepohl, Helmut
Netšunajev, Aleksei
statement of authorship
Helmut Lütkepohl, Aleksei Netšunajev
source
Econometrics and statistics
journal volume number month
vol. 1
year of publication
2017
pages
p. 2-18 : ill
url
https://doi.org/10.1016/j.ecosta.2016.05.001
subject term
majandusmudelid
autoregressioonimudelid
VAR-mudel
rahapoliitika
keyword
structural vector autoregression
identification via heteroskedasticity
conditional heteroskedasticity
smooth transition
Markov switching
GARCH
ISSN
2452-3062
notes
Bibliogr. p. 17-18
TTÜ department
majandusanalüüsi ja rahanduse instituut
language
inglise