Maximum likelihood estimation of a TVP-VAR
GV Moura, MR Noriller - Economics Letters, 2019 - Elsevier
This paper proposes the maximum likelihood estimation of a vector autoregression with drifting coefficients and multivariate stochastic volatility. The coefficients are assumed to follow …
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This paper proposes the maximum likelihood estimation of a vector autoregression with drifting coefficients and multivariate stochastic volatility. The coefficients are assumed to follow …