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Waggoner, Daniel F.; Zha, Tao A. - 2014

When impulse responses in dynamic multivariate models such as identified VARs are given economic interpretations, it is important that reliable statistical inferences be provided. Before probability assessments are provided, however, the model must be normalized. Contrary to the conventional...

Persistent link: https://www.econbiz.de/10014048571

The Calculation of Multivariate Normal Probabilities Using a Re-Summed Tetrachoric Series Approximation

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Risk models based on uncertainty quantification for illicit traffic time series in customs context

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A flexible observation-driven stationary bivariate negative binomial INAR(1) with non-homogeneous levels of over-dispersion

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Stochastic tail index model for high frequency financial data with Bayesian analysis

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