Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Research output: Working paper / Preprint › Working paper › Professional

Access to Document

@techreport{18784ab1dbb04c87aea98c6beec35e13,

title = "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors",

author = "Koopman, {Siem Jan} and Paolo Gorgi and Julia Schaumburg",

year = "2021",

month = jun,

day = "28",

language = "English",

volume = "21-057/III",

publisher = "Tinbergen Institute",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}

TY - UNPB

T1 - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

AU - Koopman, Siem Jan

AU - Gorgi, Paolo

AU - Schaumburg, Julia

PY - 2021/6/28

Y1 - 2021/6/28

M3 - Working paper

VL - 21-057/III

BT - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

PB - Tinbergen Institute

ER -