Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino
| Year of publication: |
2021
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| Authors: | Carriero, Andrea ; Clark, Todd E. ; Marcellino, Massimiliano |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 225.2021, 1, p. 47-73
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| Subject: | Endogeneity | Causality | Stochastic volatility | Bayesian methods | Volatilität | Volatility | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Kausalanalyse | Causality analysis | Schätzung | Estimation | Risiko | Risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013278994