Alexander Georges Gretener

University of Kiel - Institute for Quantitative Business and Economic Research (QBER)

Heinrich-Hecht-Platz 9

Kiel, 24106

Germany

http://www.qber.uni-kiel.de

  • University of Kiel - Institute for Quantitative Business and Economic Research (QBER)

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Dynamic Mixture Vector Autoregressions with Score-Driven Weights

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Dynamic Mixture Vector Autoregressions with Score-Driven Weights

Number of pages: 37 Posted: 16 Feb 2022
Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt
University of Kiel - Institute for Quantitative Business and Economic Research (QBER), University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 79 (509,713)

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Dynamic Mixture Models, Generalized Autoregressive Score Models, Macro-Financial Linkages, Nonlinear VAR

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

CESifo Working Paper No. 10366
Number of pages: 40 Posted: 13 Apr 2023
Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt
University of Kiel - Institute for Quantitative Business and Economic Research (QBER), University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 17 (906,914)

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dynamic mixture models, generalized autoregressive score models, macro-finance linkages, nonlinear VAR