Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty
Massimiliano Marcellino, Andrea Carriero and Todd Clark
| Year of publication: |
08 July 2021
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| Authors: | Marcellino, Massimiliano ; Carriero, Andrea ; Clark, Todd E. |
| Publisher: |
London : Centre for Economic Policy Research |
| 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 |
| Extent: | 1 Online-Ressource (circa 76 Seiten) Illustrationen |
|---|---|
| Series: | Discussion papers / CEPR. - London : CEPR, ISSN 2045-6573, ZDB-ID 2001019-9. - Vol. DP16346 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589508