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Unit Root Vector Autoregression with Volatility induced Stationarity
Heino Bohn Nielsen
,
Anders Rahbek
13
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Keyphrases
ARCH Model
14%
Asymptotic Theory
28%
Bridge Vector
14%
Conditional Mean
28%
Conditional Variance
14%
Discrete-time
14%
First-order Moments
28%
Gaussian Distribution
14%
Geometrically Ergodic
14%
Higher-order Moments
14%
Individual Interest
14%
Interest Rates
28%
Linear Cointegration
14%
Maximum Likelihood Estimator
14%
Model Bridge
14%
Monte Carlo Simulation
14%
Multivariate ARCH
14%
Multivariate Model
14%
Multivariate Process
14%
Rank Structure
14%
Reduced Rank
14%
Root Vector
100%
Self-excitation
28%
Stationarity
100%
Stationary Ergodic Processes
14%
Strictly Ergodic
14%
Strictly Stationary
28%
Structure Data
14%
T-convergence
14%
Unit Root
100%
Vector Autoregression
100%
Volatility
100%
Mathematics
Asymptotic Theory
66%
Cointegration
33%
Conditional Variance
33%
Conditionals
66%
Discrete Time
33%
Empirical Illustration
33%
Gaussian Distribution
33%
Maximum Likelihood Estimator
33%
Monte Carlo
33%
Residuals
33%
Stationarity
100%
Term Structure
33%
Vector Autoregression
100%
Economics, Econometrics and Finance
ARCH Model
14%
Autoregression
100%
Interest Rate
28%
Monte Carlo Simulation
14%
Time Series
14%
Unit Root
100%
Volatility
100%