Specification tests for non-Gaussian structural vector autoregressions
Dante Amengual, Gabriele Fiorentini, Enrique Sentana
| Year of publication: |
2024
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|---|---|
| Authors: | Amengual, Dante ; Fiorentini, Gabriele ; Sentana, Enrique |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 244.2024, 2, Art.-No. 105803, p. 1-21
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| Subject: | Consistent tests | Copulas | Finite normal mixtures | Independence tests | Pseudo maximum likelihood estimators | Volatility indices | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | VAR-Modell | VAR model | Volatilität | Volatility | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis | Gauß-Prozess | Gaussian process | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105803 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015552444