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Don Harding Adrian Papgan: The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Kaufmann, Sylvia - In: Jahrbücher für Nationalökonomie und Statistik 237 (2017) 5, pp. 453-455

Persistent link: https://www.econbiz.de/10014609638

A Switching ARCH Model for the German DAX Index

Kaufmann, Sylvia; Scheicher, Martin - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 4

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...

Persistent link: https://www.econbiz.de/10014620950

Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors

Beyeler, Simon; Kaufmann, Sylvia - In: Journal of Applied Econometrics 36 (2021) 7, pp. 989-1012

Persistent link: https://www.econbiz.de/10012632833

A switching ARCH model for German DAX index

Kaufmann, Sylvia (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10003559162

K-state switching models with time-varying transition distributions : does loan growth signal stronger effects of variables on inflation?

Kaufmann, Sylvia - In: Journal of econometrics 187 (2015) 1, pp. 82-94

Persistent link: https://www.econbiz.de/10011498759

Model-based clustering of multiple time series

Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - 2004

Persistent link: https://www.econbiz.de/10002398968

Portfolio rebalancing in times of stress

Fischer, Andreas M.; Greminger, Rafael P.; Grisse, Christian - In: Journal of international money and finance 113 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012798510

Bank lending in Switzerland : driven by business models and exposed to uncertainty

Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - In: International review of financial analysis 78 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013255872

The cyclical component of labor market polarization and jobless recoveries in the US

Gaggl, Paul; Kaufmann, Sylvia - In: Journal of monetary economics 116 (2020), pp. 334-347

Persistent link: https://www.econbiz.de/10012495183

Editorial introduction on complexity and big data in economics and finance : recent developments from a Bayesian perspective

Kaufmann, Sylvia; Frühwirth-Schnatter, Sylvia; Dijk, … - In: Journal of econometrics 210 (2019) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012303345