Score-driven non-linear multivariate dynamic location models Working Papers uri icon

publication date

  • 2017

series title

  • UC3M Working papers Economics

series number

  • 17-14

keywords

  • dynamic conditional score (dcs) models; multivariate dynamic location models; quasi-var (qvar) models; non-linear vector ma models; impulse response function (irf); cyclical irf; multivariate student's t errors