Structural vector autoregressions with heteroskedasticity : a review of different volatility models
statement of authorship
Helmut Lütkepohl, Aleksei Netšunajev
source
Econometrics and statistics
journal volume number month
vol. 1
year of publication
pages
p. 2-18 : ill
subject term
keyword
conditional heteroskedasticity
Markov switching
GARCH
ISSN
2452-3062
notes
Bibliogr. p. 17-18
TTÜ department
language
inglise
Lütkepohl, H., Netšunajev, A. Structural vector autoregressions with heteroskedasticity : a review of different volatility models // Econometrics and statistics (2017) vol. 1, p. 2-18 : ill.