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Non-linear dimension reduction in factor-augmented vector autoregressions
Klieber, Karin - In: Journal of economic dynamics & control 159 (2024), pp. 1-29
Persistent link: https://www.econbiz.de/10014532393
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Nonlinear impulse response functions
Potter, Simon M. - In: Journal of economic dynamics & control 24 (2000) 10, pp. 1425-1446
Persistent link: https://www.econbiz.de/10001495428
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Latent variables analysis in structural models : A new decomposition of the kalman smoother
Chung, Hess; Fuentes-Albero, Cristina; Paustian, Matthias; … - In: Journal of economic dynamics & control 125 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012667010
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Assessing DSGE model nonlinearities
Aruoba, S. Borağan; Bocola, Luigi; Schorfheide, Frank - In: Journal of economic dynamics & control 83 (2017), pp. 34-54
Persistent link: https://www.econbiz.de/10011915578
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied - In: Journal of economic dynamics & control 91 (2018), pp. 469-484
Persistent link: https://www.econbiz.de/10011974225
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The xpected time to cross a threshold and its determinants : A simple and flexible framework
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: Journal of economic dynamics & control 122 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012666214
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What does financial volatility tell us about macroeconomic fluctuations?
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360
Persistent link: https://www.econbiz.de/10011474221
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DSGE model with financial frictions over subsets of business cycle frequencies
Gallegati, Marco; Giri, Federico; Palestrini, Antonio - In: Journal of economic dynamics & control 100 (2019), pp. 152-163
Persistent link: https://www.econbiz.de/10012130956
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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Reconciling output gaps : unobserved components model and Hodrick-Prescott filter
Grant, Angelia L.; Chan, Joshua - In: Journal of economic dynamics & control 75 (2017), pp. 114-121
Persistent link: https://www.econbiz.de/10011817152