Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Year of publication: |
2016
|
---|---|
Authors: | Lütkepohl, Helmut ; Velinov, Anton |
Publisher: |
[Kiel : ZBW |
Subject: | Vector autoregression | heteroskedasticity | vector GARCH | conditional heteroskedasticity | Markov switching model | VAR-Modell | VAR model | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility | Schätzung | Estimation | Kointegration | Cointegration |
Extent: | 1 Online-Ressource (circa 25 Seiten) Illustrationen |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | 10.1111/joes.12100 [DOI] hdl:10419/180833 [Handle] |
Classification: | C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Lütkepohl, Helmut, (2014)
-
Lütkepohl, Helmut, (2014)
-
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut, (2014)
- More ...
-
Lütkepohl, Helmut, (2014)
-
Lütkepohl, Helmut, (2014)
-
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut, (2014)
- More ...