Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dukpa | - |
dc.date.accessioned | 2021-09-05T08:09:18Z | - |
dc.date.available | 2021-09-05T08:09:18Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-06 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/98277 | - |
dc.description.abstract | This paper analyzes the maximum likelihood estimation for vector autoregressions with stochastic volatility. The stochastic volatility is modeled following Uhlig (1997). The asymptotic distribution of the maximum likelihood estimate is discussed under mild regularity conditions. The maximum likelihood estimate can be obtained via an iterative method. In that case, the maximum likelihood estimate becomes the iteratively reweighted least squares estimate analyzed in Rubin (1983). The iteratively reweighted least squares estimate is computationally much simpler than the Bayesian method offered by Uhlig (1997). (c) 2014 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.title | Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dukpa | - |
dc.identifier.doi | 10.1016/j.econlet.2014.03.004 | - |
dc.identifier.scopusid | 2-s2.0-84897016294 | - |
dc.identifier.wosid | 000337209400007 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.123, no.3, pp.282 - 286 | - |
dc.relation.isPartOf | ECONOMICS LETTERS | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 123 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 282 | - |
dc.citation.endPage | 286 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordAuthor | Heteroskedasticity | - |
dc.subject.keywordAuthor | Local scale | - |
dc.subject.keywordAuthor | Iteratively reweighted least squares | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.