Inference in VARs with conditional heteroskedasticity of unknown form

2015/10/24 by Ralf Brüggemann, Carsten Jentsch, Carsten Trenkler · 3 citations
Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Stochastic processes and financial applications

paper · doi:10.1016/j.jeconom.2015.10.004

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