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Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

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Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

Persistent link: https://www.econbiz.de/10011612106

Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement … impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility. …

Persistent link: https://www.econbiz.de/10011800671

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - In: Energy economics 121 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014438651

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …

Persistent link: https://www.econbiz.de/10013254444

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539

Persistent link: https://www.econbiz.de/10014305574

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Yamauchi, Yuta; Omori, Yasuhiro - 2020

Persistent link: https://www.econbiz.de/10013335000

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Yamauchi, Yuta; Omori, Yasuhiro - 2021

Persistent link: https://www.econbiz.de/10013339035

Regime shifts and the Canada/US exchange rate in a multivariate framework

Beckmann, Joscha; Czudaj, Robert - In: Economics letters 123 (2014) 2, pp. 206-211

Persistent link: https://www.econbiz.de/10010400293

A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

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