Investigating economic uncertainty using stochastic volatility in mean VARs : the importance of model size, order-invariance and classification
Sharada Nia Davidson, Chenghan Hou, and Gary Koop
| Year of publication: |
2025
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| Authors: | Davidson, Sharada Nia ; Hou, Chenghan ; Koop, Gary |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 4, p. 992-1007
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| Subject: | Large VAR | Order invariance | Stochastic volatility | Uncertainty | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | VAR-Modell | VAR model | Risikomaß | Risk measure | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2025.2455064 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534582