The Time-Varying Multivariate Autoregressive Index Model
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- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
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More about this item
Keywords
large datasets; multivariate autoregressive index models; stochastic volatility; bayesian vars.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2022-02-28 (Central and Western Asia)
- NEP-ECM-2022-02-28 (Econometrics)
- NEP-ETS-2022-02-28 (Econometric Time Series)
- NEP-MAC-2022-02-28 (Macroeconomics)
- NEP-ORE-2022-02-28 (Operations Research)
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