Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015
In this paper we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying … coefficients and time-varying conditional variance of the error process. This allows modeling VAR dynamics for non-stationary times … point for further research on numerous open problems including establishing estimation results of time-varying parameters …