Narrow search
Showing 1 - 10 of 31,647
Cover Image
Estimation and inference of FAVAR models
Bai, Jushan; Li, Kunpeng; Lu, Lina - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 620-641
Persistent link: https://www.econbiz.de/10011692442
Cover Image
On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
Cover Image
Impulse response matching estimators for DSGE models
Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011213816
Cover Image
Impulse response matching estimators for DSGE models
Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011246096
Cover Image
Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011431276
Cover Image
Impulse response matching estimators for DSGE models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10010435454
Cover Image
Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011418016
Cover Image
Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10010437938
Cover Image
The Austrian Business Cycle Theory: VAR Analysis for USA between 1978-2013
Komrska, Martin - In: Politická ekonomie 2015 (2015) 1, pp. 57-73
The aim of this paper is to empirically investigate the explanatory power of Austrian business cycle theory (ABCT). My dataset consists of US quarterly time series within the period 1978–2013. Following Wainhouse (1984), Keeler (2001) and others I employ Granger causality as one of the primary...
Persistent link: https://www.econbiz.de/10011228245
Cover Image
Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011145457