21-056/III - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

• Authors
  Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam
• Publication date
  June 28, 2021

• Keywords
  time-varying parametersvector autoregressive model, dynamic factor model, Kalman filter, generalized autoregressive conditional heteroskedasticity, orthogonal impulse response function
• JEL
  C32, E31