Similar Search Results

Dynamic analyses using VAR model with mixed frequency data through observable representation

Kim, Yun-Yeong - In: The Korean economic review 32 (2016) 1, pp. 41-75

Persistent link: https://www.econbiz.de/10011649329

A sturdy reduced-bias extreme quantile (VaR) estimator

Gomes, M. Ivette; Pestana, Dinis - In: Journal of the American Statistical Association : JASA 102 (2007) 477, pp. 280-292

Persistent link: https://www.econbiz.de/10003431156

The empirical analysis of exchange rate regimes and nonlinear econometrics

Winschel, Viktor - 2005

Persistent link: https://www.econbiz.de/10003300833

Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns

Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173

Persistent link: https://www.econbiz.de/10009301140

VAR estimates of the housing and stock wealth effects : cross-country evidence

Sheng, Guo; Unal, Umut - 2011

Persistent link: https://www.econbiz.de/10009301268

The state space representation and estimation of a time-varying parameter VAR with stochastic volatility

Doh, Taeyoung; Connolly, Michael - 2012

Persistent link: https://www.econbiz.de/10009575454

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Grobys, Klaus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 55-67

This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...

Persistent link: https://www.econbiz.de/10009511728

Study of inflation in India : a cointegrated vector autoregression approach

Patnaik, Anuradha - In: Journal of quantitative economics : official journal of … 8 (2010) 1, pp. 118-129

Persistent link: https://www.econbiz.de/10009521918

Bootstrapping structural VARs : avoiding a potential bias in confidence intervals for impulse response functions

Phillips, Kerk Layne; Spencer, David E. - In: Journal of macroeconomics 33 (2011) 4, pp. 582-594

Persistent link: https://www.econbiz.de/10009530453

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

1
2
3
4
5
6
7
8
9
10
Next
Last