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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159
Persistent link: https://www.econbiz.de/10011969544
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The fiscal theory of the price level in a world of low interest rates
Bassetto, Marco; Cui, Wei - In: Journal of economic dynamics & control 89 (2018), pp. 5-22
Persistent link: https://www.econbiz.de/10011973947
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Comments on "the fiscal theory of the price level in a world with low interest rates," by M. Bassetto and W. Cui
Williamson, Stephen D. - In: Journal of economic dynamics & control 89 (2018), pp. 23-25
Persistent link: https://www.econbiz.de/10011973949
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - In: Journal of economic dynamics & control 90 (2018), pp. 310-342
Persistent link: https://www.econbiz.de/10011974088
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Simulation evidence on theory-based and statistical identification under volatility breaks
Herwartz, Helmut; Plödt, Martin - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 94-112
Persistent link: https://www.econbiz.de/10011494636
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Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
Herwartz, Helmut; Wang, Shu - In: Journal of economic dynamics & control 151 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014478708