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22-070/III - Dynamic Partial Correlation Models


  • Authors
    Enzo D’Innocenzo, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    September 29, 2022
  • Keywords
    Dynamic partial correlations, perturbed stochastic recurrence equations, invertibility, stationarity
  • JEL
    C32, C58