Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Paolo Gorgi, Siem Jan Koopman, Julia Schaumburg
| Year of publication: |
2024
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| Authors: | Gorgi, Paolo ; Koopman, Siem Jan ; Schaumburg, Julia |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 244.2024, 2, Art.-No. 105750, p. 1-23
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| Subject: | Dynamic factor model | Generalized autoregressive conditional heteroskedasticity | Kalman filter | Orthogonal impulse response functions | Time-varying parameters | Vector autoregressive model | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105750 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015553737