Example: stock market

Time-Varying Parameter VAR Model with Stochastic ...

the random walk process. The estimation algorithm for the random-walk case requires . In the case of , the log-volatility follows only a slight modification for the algorithm developed below.2 We can consider reduced models in the class of the TVP regression model. If the regression has only constant coefficients (i.e., z

Tags:

  Random

Information

Domain:

Source:

Link to this page:

Please notify us if you found a problem with this document:

Other abuse

Transcription of Time-Varying Parameter VAR Model with Stochastic ...

Related search queries