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Economics Letters
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Economics Letters
Article . 2019 . Peer-reviewed
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Maximum likelihood estimation of a TVP-VAR

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2019 English Publisher:Elsevier BVJournal:Economics Letters, volume 174, pages 78-83 (issn: 0165-1765, Copyright policy )
Authors: Moura, Guilherme V.; Noriller, Mateus R.;

doi: 10.1016/j.econlet.2018.10.032

Maximum likelihood estimation of a TVP-VAR

Abstract

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Keywords

Applications of statistics to actuarial sciences and financial mathematics, multivariate stochastic volatility, time-varying parameters VAR, Time series, auto-correlation, regression, etc. in statistics (GARCH), Estimation in multivariate analysis, maximum likelihood estimation, random walks, Wishart distribution, Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 10
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
10
Top 10%
Average
Top 10%
bronze