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Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael - 2019
vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …
Persistent link: https://www.econbiz.de/10012052678
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Modelling and estimating the forward price curve in the energy market
Chiarella, Carl; Chewlow, Les; King, Boda - 2009
Persistent link: https://www.econbiz.de/10008662359
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Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility
Wu, Ping - In: International journal of forecasting 40 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10014547224
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Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael - In: Macroeconomic dynamics 27 (2023) 3, pp. 770-793
Persistent link: https://www.econbiz.de/10014247550
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Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403
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Real options valuation : the importance of stochastic process choice in commodity price modelling
Schöne, Max - 2015 - Aufl. 2015
Persistent link: https://www.econbiz.de/10010419770
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On the epidemic of financial crises
Demiris, Nikolao; Kypraios, Theodore; Smith, L. Vanessa - 2012
Persistent link: https://www.econbiz.de/10009757621
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Global macroeconomic uncertainty
Berger, Tino; Grabert, Sibylle; Kempa, Bernd - In: Journal of macroeconomics 53 (2017), pp. 42-56
Persistent link: https://www.econbiz.de/10011753426
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Density forecasting using Bayesian global vector autoregressions with stochastic volatility
Huber, Florian - In: International journal of forecasting 32 (2016) 3, pp. 818-837
Persistent link: https://www.econbiz.de/10011621824
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Does the price of crude oil help predict the conditional distribution of aggregate equity return?
Nonejad, Nima - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 313-349
Persistent link: https://www.econbiz.de/10012218998