Similar Search Results

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

Persistent link: https://www.econbiz.de/10011490564

Productivity and firm dynamics over the business cycle

Assefa, Abraham; Lapitskaya, Darya; Uusküla, Lenno - 2022

Persistent link: https://www.econbiz.de/10013253091

Fiscal policy and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2021

Persistent link: https://www.econbiz.de/10013186196

Routine-biased technological change and hours worked over the business cycle

Bock, Sébastien; Fontaine, Idriss - 2020

Persistent link: https://www.econbiz.de/10012387105

A generalised stochastic volatility in mean VAR : an updated algorithm

Mumtaz, Haroon - 2020

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

Persistent link: https://www.econbiz.de/10012243290

Fiscal sustainability assessment for Suriname 1978-2017 : a fiscal reaction function approach

Mungroo, Albert; Tjon Kie Sim-Balker, Peggy - 2020

following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …

Persistent link: https://www.econbiz.de/10012298406

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices. After 1980, along with a decline in the fiscal...

Persistent link: https://www.econbiz.de/10011627039

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24

Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...

Persistent link: https://www.econbiz.de/10011590636

The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration

Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12

This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the autoregressive-distributed lag bounds (ARDL Bounds) test and...

Persistent link: https://www.econbiz.de/10011972648

Brent prices and oil stock behaviors : evidence from Nigerian listed oil stocks

Uzo-Peters, Amarachi; Laniran, Temitope; Adenikinju, … - In: Financial innovation : FIN 4 (2018) 8, pp. 1-15

autoregressive (VAR) model with the impulse response function and the forecast variance decomposition error. Findings: The empirical …

Persistent link: https://www.econbiz.de/10011825898