Time‐varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets
Sign Up to like & getrecommendations! Published in 2017 at "Environmental Research"
DOI: 10.1016/j.envres.2016.07.015
Abstract: Abstract This paper proposes a new time‐varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation… read more here.
Keywords: time varying; time; correlation; vector autoregressions ... See more keywords