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