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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
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cointegration
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impulse response function
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limit order
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price impact
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DSGE
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Perturbation
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Structural vector error correction model
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bootstrap
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impulse response intervals
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long-run restrictions
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Hautsch, Nikolaus
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Huang, Ruihong
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
73
C.E.P.R. Discussion Papers
13
EconWPA
10
European Central Bank
8
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
7
CESifo
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Department of Econometrics and Business Statistics, Monash Business School
6
Cowles Foundation for Research in Economics, Yale University
5
Department of Economics, Faculty of Economic and Management Sciences
5
Economics Department, University of California-Davis
5
Erasmus University Rotterdam, Econometric Institute
5
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institut für Volkswirtschaftslehre, Johannes-Kepler-Universität Linz
5
Department of Economics, Oxford University
4
School of Economics, UNSW Business School
4
Tinbergen Instituut
4
Université Paris-Dauphine (Paris IX)
4
William Davidson Institute, University of Michigan
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Agricultural and Applied Economics Association - AAEA
3
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
3
Department of Economics, Leicester University
3
Department of Economics, University of Pennsylvania
3
Econometric Society
3
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit
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School of Economics and Finance, Queen Mary
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School of Economics and Management, University of Aarhus
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Tinbergen Institute
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3
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3
VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
3
Vienna University of Economics and Business, Department of Economics
3
Australian Agricultural and Resource Economics Society - AARES
2
Banque de France
2
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SFB 649 Discussion Papers
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Solving DSGE Models with a Nonlinear Moving Average
Lan, Hong
;
Meyer-Gohde, Alexander
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
nonlinearity, and enables familiar
impulse
response
analysis in nonlinear settings. When the linear approximation is saddle stable …
Persistent link: https://www.econbiz.de/10009386428
Saved in:
2
Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of
impulse-response
…
Persistent link: https://www.econbiz.de/10009275679
Saved in:
3
The Market Impact of a Limit Order
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10008577794
Saved in:
4
Finite Sample Properties of
Impulse
Response
Intervals in SVECMs with Long-Run Identifying Restrictions
Brüggemann, Ralf
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
models (SVECMs) with long-run identifying restrictions on the
impulse
response
functions. The simulation study compares … may be less suitable for applied work as it is less informative about the sign of the underlying
impulse
response
function … SFB 649 Discussion Paper 2006-021 Finite Sample Properties of
Impulse
Response
Intervals in …
Persistent link: https://www.econbiz.de/10005677903
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