Bayesian semiparametric inference for TVP-SVAR models with asymmetry and fat tails
Statistical Modelling: An International Journal
Published online on April 17, 2025
Abstract
Statistical Modelling, Volume 26, Issue 2, Page 184-203, April 2026.
Time-varying parameter (TVP) structural vector autoregressive models with stochastic volatility (SVAR-SV) usually assume Gaussian innovations and a smooth or discrete path for the coefficients. To account for possible skewness and fat tails, this work ...
Time-varying parameter (TVP) structural vector autoregressive models with stochastic volatility (SVAR-SV) usually assume Gaussian innovations and a smooth or discrete path for the coefficients. To account for possible skewness and fat tails, this work ...