Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Year of publication: |
[2021]
|
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Authors: | Gorgi, Paolo ; Koopman, Siem Jan ; Schaumburg, Julia |
Publisher: |
Amsterdam, The Netherlands : Tinbergen Institute |
Subject: | time-varying parameters | vector autoregressive model | dynamic factor model | Kalman filter | generalized autoregressive conditional heteroskedasticity | orthogonal impulse response functions | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Schätzung | Estimation |
Extent: | 1 Online-Ressource (circa 30 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2021, 056 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/237789 [Handle] |
Classification: | C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation |
Source: | ECONIS - Online Catalogue of the ZBW |
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