Article ; Online: Time-Varying Parameters in Econometrics: The editor’s foreword
Journal of Econometrics. 2023 Apr. 03, p.105439-
2023 , Page(s) 105439–
Abstract: The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score- ... ...
Abstract | The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score-driven models is a sub-class. We will introduce the Themed Issue and review its contributions. |
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Keywords | econometrics ; journals ; models ; wills ; C31 ; C32 ; Observation-driven time series models ; Score-driven time series models ; Financial econometrics |
Language | English |
Dates of publication | 2023-0403 |
Publishing place | Elsevier B.V. |
Document type | Article ; Online |
Note | Pre-press version |
ZDB-ID | 1460617-3 |
ISSN | 0304-4076 |
ISSN | 0304-4076 |
DOI | 10.1016/j.jeconom.2023.03.007 |
Database | NAL-Catalogue (AGRICOLA) |
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