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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

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

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

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Canova, Fabio; Pérez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384

Persistent link: https://www.econbiz.de/10011343754

On the long-run neutrality of demand shocks

Chen, Wenjuan; Netsunajev, Aleksei - 2015

Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use structural VAR models with smoothly changing covariances for identification...

Persistent link: https://www.econbiz.de/10011349551