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Risk and return spillovers among the G10 currencies

Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Rafferty, Barry - 2016

Persistent link: https://www.econbiz.de/10011437006

Using global VAR models for scenario-based forecasting and policy analysis

Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Shin, Yongcheol - In: The GVAR handbook : structure and applications of a …, (pp. 97-113). 2013

Persistent link: https://www.econbiz.de/10009730024

International linkages of the Korean economy : the global vector error-correcting macroeconometric modelling approach

Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Shin, Yongcheol - 2012

Persistent link: https://www.econbiz.de/10009663216

Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework

Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Shin, Yongcheol - In: Journal of applied econometrics 27 (2012) 4, pp. 554-573

Persistent link: https://www.econbiz.de/10009618533

Quantifying informatical linkages in a global model of currency spot markets

Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Shin, Yongcheol - 2014

Persistent link: https://www.econbiz.de/10010409042

Does the spillover index respond significantly to systemic shocks? : a bootstrap-based probabilistic analysis

Greenwood-Nimmo, Matthew; Kočenda, Evžen; Viet Hoang … - 2021

The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the...

Persistent link: https://www.econbiz.de/10012620211