Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications

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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications

Jouchi Nakajima

(IMES discussion paper series, no. 2011-E-9)

Institute for Monetary and Economic Studies, Bank of Japan, 2011

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Bibliography: p. 37-40

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