Similar Search Results

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461

Persistent link: https://www.econbiz.de/10012620715

Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TPV-VAR SV models

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013273010

Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models

Rodriguez, Gabriel; Vassallo, Renato - 2022 - Primera edición

Persistent link: https://www.econbiz.de/10013273028

Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models

Calero, Roberto; Rodriguez, Gabriel; Salcedo Cisneros, … - 2022 - Primera edición

Persistent link: https://www.econbiz.de/10013273080

Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994

Causality and dynamic spillovers among cryptocurrencies and currency markets

Elsayed, Ahmed H.; Gozgor, Giray; Lau, Chi Keung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2026-2040

Persistent link: https://www.econbiz.de/10013184641

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012223665

A quasi-Bayesian local likelihood approach to time varying parameter VAR models

Petrova, Katerina - In: Journal of econometrics 212 (2019) 1, pp. 286-306

Persistent link: https://www.econbiz.de/10012303932

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....

Persistent link: https://www.econbiz.de/10012294928

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

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