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Asset prices, financial amplification and monetary policy : structural evidence from an identified multivariate GARCH model

Herwartz, Helmut; Roestel, Jan - In: Journal of international financial markets, … 78 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013357315

State dependence of fiscal multipliers in Chile : an independent component approach to identification

Fortunato, Andres; Herwartz, Helmut - In: Latin American economic review : LAER ; official … 32 (2023), pp. 1-21

In studying the economic cycle dependency of fiscal multipliers in Chile, we implement an independent component analysis for structural shock identification within a non-linear vector autoregressive setting with generalized impulse response functions. Thereby we relax more restrictive...

Persistent link: https://www.econbiz.de/10014234272

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

In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors

Herwartz, Helmut; Morales-Arias, Leonardo - In: The European journal of finance 15 (2009) 1/2, pp. 1-28

Persistent link: https://www.econbiz.de/10003827004

Exchange rates, foreign currency exposure and sovereign risk

Bernoth, Kerstin; Herwartz, Helmut - In: Journal of international money and finance 117 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013284855

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

Structural transmissions among investor attention, stock market volatility and trading volumes

Herwartz, Helmut; Xu, Fang - In: European financial management : the journal of the … 28 (2022) 1, pp. 260-279

Persistent link: https://www.econbiz.de/10012795709

Asymmetric volatility impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 222 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014232851

Partisan influence on social spending under market integration, fiscal pressure and institutional change

Herwartz, Helmut; Theilen, Bernd - In: European journal of political economy 34 (2014), pp. 409-424

Persistent link: https://www.econbiz.de/10010486551

In-sample and out-of-sample prediction of stock market bubbles : cross-sectional evidence

Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - In: Journal of forecasting 33 (2014) 1, pp. 15-31

Persistent link: https://www.econbiz.de/10010424900