Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity : evidence from the quantile vector autoregressive connectedness approach
Year of publication: |
2024
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Authors: | Ben Haddad, Hedi ; Mezghani, Imed ; Medhioub, Imed ; Altamimi, Sohale |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 66.2024, 2, p. 829-858
|
Subject: | Connectedness index | Financial crisis | Quantile VAR | Spillover effects | Uncertainty | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | USA | United States | Finanzkrise | Risiko | Risk | Schätzung | Estimation | Volatilität | Volatility | ARCH-Modell | ARCH model |
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