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autoregressive model (FAVAR) is used to assess the transmission mechanisms of monetary policy in four newly joined European Union (EU …
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Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this dissertation, I analyze determinants of conditional correlations. Specifically, I propose the generalized DCCX model that facilitates the analysis of the effects of exogenous...
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Bootstrap; Europäische Währungsunion; Frühwarnsystem; Makroökonomische Ungleichgewichte; Makroökonomische Überwachung; Penalized Splines; Risikoprämien auf Staatsschulden; Staatsschuldenkrise; Semiparametrische Regression; Signalansatz
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