Dynamic mixture vector autoregressions with score-driven weights
Alexander Georges Gretener, Matthias Neuenkirch, Dennis Umlandt
| Year of publication: |
2025
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|---|---|
| Authors: | Gretener, Alexander Georges ; Neuenkirch, Matthias ; Umlandt, Dennis |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 40.2025, 4, p. 455-470
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| Subject: | dynamic mixture models | generalized autoregressive score models | macrofinancial linkages | nonlinear vector autoregressions | stock and bond return dynamics | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/jae.3119 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015463303