18 citations · 28 across the 11 of their papers we have counts for
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econ.EM2019
Bayesian estimation of large dimensional time varying VARs using copulas
Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…
math.ST2019
Testing for strict stationarity in a random coefficient autoregressive model
Lorenzo Trapani
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression…