Sequential estimation of shape parameters in multivariate dynamic models-Reference-Cited by-同舟云学术

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Sequential estimation of shape parameters in multivariate dynamic models

Published:2013-12 Issue:2 Volume:177 Page:233-249
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Amengual Dante,Fiorentini Gabriele,Sentana Enrique

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference41 articles.

1. Handbook of Mathematical Functions;Abramowitz,1964

2. Acharya, V.V., Lasse, H.P., Philippon, T., Richardson, M., 2010. Measuring systemic risk. Federal Reserve Bank of Cleveland Working Paper 10-02.

3. Adrian, T., Brunnermeier, M., 2011. CoVaR. Mimeo, Princeton.

4. Amengual, D., Sentana, E., 2011. Inference in multivariate dynamic models with elliptical innovations. Mimeo, CEMFI.

5. Basel Committee on Banking Supervision. 2011. Basel III: a global regulatory framework for more resilient banks and banking systems. Mimeo, Bank of International Settlements.

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