1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2021★ 1 cited
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
Yayi Yan, Jiti Gao, Bin Peng
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To…
econ.EM2020
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
Yayi Yan, Jiti Gao, Bin Peng
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agen…