Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty

标题
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
作者
关键词
Endogeneity, Causality, Stochastic volatility, Bayesian methods
出版物
JOURNAL OF ECONOMETRICS
Volume 225, Issue 1, Pages 47-73
出版商
Elsevier BV
发表日期
2021-07-31
DOI
10.1016/j.jeconom.2021.07.001

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