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Volatility spillover between oil and stock prices : structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation

Chan, Ying Tung; Qiao, Hui - In: International review of economics & finance : IREF 87 (2023), pp. 265-286

Persistent link: https://www.econbiz.de/10014472255

Monetary policy and stock prices in small open economies : empirical evidence for the new EU member states

Pirovano, Mara - In: Economic systems 36 (2012) 3, pp. 372-390

Persistent link: https://www.econbiz.de/10009712153

Exchange rate dynamics and stock prices in small open economies : evidence from Asia-Pacific countries

Yang, Sheng-Ping - In: Pacific-Basin finance journal 46 (2017), pp. 337-354

Persistent link: https://www.econbiz.de/10011801042

Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? : a panel SVAR approach

Aruna, Bhagavatula; Acharya, Rajesh H. - In: Economics and policy of energy and the environment 62 (2020) 1, pp. 191-211

Persistent link: https://www.econbiz.de/10012649738

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414