Lorenzo Trapani

affiliation not provided to SSRN

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Scholarly Papers (1)

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Bayesian Estimation of Large Dimensional Time Varying VARs Using Copulas

Number of pages: 32 Posted: 17 Jan 2020
Mike Tsionas, Marwan Izzeldin and Lorenzo Trapani
Lancaster University, Lancaster University Management School and affiliation not provided to SSRN
Downloads 37 (487,725)

Abstract:

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Vector AutoRegressive Moving Average models, Time-Varying parameters, Copulas