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Detecting contagion with correlation : volatility and timing matter
Dungey, Mardi H.; Yalama, Abdullah - 2009
Persistent link: https://www.econbiz.de/10003882203
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Exchange rates dynamics with long-run risk and recursive preferences
Kollmann, Robert - 2014
Persistent link: https://www.econbiz.de/10011341969
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Investor sentiment, volatility and cross-market illiquidity dynamics : a threshold vector autoregression approach
Qi, Lin - 2022
Persistent link: https://www.econbiz.de/10013184159
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Uncertainty and sign-dependent effects of oil market shocks
Bao Hoang Nguyen; Okimoto, Tatsuyoshi; Trung Duc Tran - 2019
Persistent link: https://www.econbiz.de/10012223673
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Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224435
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Investigating the drivers of international comovement in real financial asset returns
McKinnon, Kate - 2019
Persistent link: https://www.econbiz.de/10012224630
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Empirical evidence on the dynamics of investment under uncertainty in the US
Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019
Persistent link: https://www.econbiz.de/10012224674
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International transmissions of aggregate macroeconomic uncertainty in small open economies : an empirical approach
Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey - 2018
Persistent link: https://www.econbiz.de/10012202181
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Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua; Eisenstat, Eric; Hou, Chenghan; Koop, Gary - 2018
Persistent link: https://www.econbiz.de/10012202274
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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie L. - 2018
Persistent link: https://www.econbiz.de/10012202537