Large Bayesian VARs : a flexible Kronecker error covariance structure
Joshua C.C. Chan (Research School of Economics, ANU and Centre for Applied Macroeconomic Analysis (CAMA), ANU)
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Chan, Joshua |
| Publisher: |
Canberra : Centre for Applied Macroeconomic Analysis, The Australian National University |
| Subject: | stochastic volatility | non-Gaussian | ARMA | forecasting | Prognoseverfahren | Forecasting model | Volatilität | Volatility | VAR-Modell | VAR model | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARMA-Modell | ARMA model |