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21-056/III - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors


  • Authors
    Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam
  • Publication date
    June 28, 2021
  • Keywords
    time-varying parametersvector autoregressive model, dynamic factor model, Kalman filter, generalized autoregressive conditional heteroskedasticity, orthogonal impulse response function
  • JEL
    C32, E31