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Asymmetric generalized impulse responses with an application in finance

Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22

Persistent link: https://www.econbiz.de/10010412088

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253

Long- versus medium-run identification in fractionally integrated VAR models

Tschernig, Rolf; Weber, Enzo; Weigand, Roland - In: Economics letters 122 (2014) 2, pp. 299-302

Persistent link: https://www.econbiz.de/10010395114

Testing for two-step Granger noncausality in trivariate VAR models

Giles, Judith A. - In: Handbook of applied econometrics and statistical inference, (pp. 371-399). 2002

Persistent link: https://www.econbiz.de/10001701983

Cointegration and time-varying parameters : a comment

Honohan, Patrick - In: European economic review : EER 37 (1993) 6, pp. 1279-1281

Persistent link: https://www.econbiz.de/10001146928

Recent developments in modelling nonstationary vector autoregressions

Mills, Terence C. - 1996

Persistent link: https://www.econbiz.de/10000949552

Impulse response analysis in nonlinear multivariate models

Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. - In: Journal of econometrics 74 (1996) 1, pp. 119-147

Persistent link: https://www.econbiz.de/10001755367

Co-movements of the Indian stock market with select developed markets

Sudhakar, Aare; Sireesha, P. Bhansu - In: GITAM journal of management : a quarterly publication … 12 (2014) 4, pp. 137-156

Persistent link: https://www.econbiz.de/10011292576

Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach

Bognanni, Mark; Herbst, Edward P. - 2014

Persistent link: https://www.econbiz.de/10010497164

A Comparison of GARCH Models for VAR Estimation

Orhan, Mehmet - 2011

are carried out with STATA that uses the Maximum Likelihood method of estimation …

Persistent link: https://www.econbiz.de/10013120764

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