most citedCombining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting

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econ.EM2024

Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity

Justyna Wróblewska, Łukasz Kwiatkowski

We develop a Bayesian framework for cointegrated structural VAR models identified by two-state Markovian breaks in conditional covariances. The resulting structural VEC specificati…