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Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2006

Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...

Persistent link: https://www.econbiz.de/10013520512

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014471479

Probability equivalent level for CoVaR and VaR

Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35

Persistent link: https://www.econbiz.de/10015066724

The spillover effect of agricultural product market price fluctuation based on fourier analysis

Zhang, Canyu; Tian, Guixian; Tao, Yongchao - In: International journal of information systems and supply … 15 (2022) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10014299668

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

Persistent link: https://www.econbiz.de/10011928022

A generalised stochastic volatility in mean VAR: An updated algorithm

Mumtaz, Haroon - 2020

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

Persistent link: https://www.econbiz.de/10012670871

Macroeconomic fluctuations and the forward yield curve

Chirinos, Ana María; Pagliacci, Carolina - 2014

Persistent link: https://www.econbiz.de/10010472044

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Effectiveness of capital controls in dampening international shocks

Zehri, Chokri - In: Review of Keynesian economics 9 (2021) 4, pp. 521-551

Persistent link: https://www.econbiz.de/10012803091

Exchange rate volatility and foreign portfolio investment in Nigeria

Ogundipe, Adeyemi A.; Alabi, Joys; Asaleye, Abiola John; … - In: Investment management and financial innovations 16 (2019) 3, pp. 241-250

Persistent link: https://www.econbiz.de/10012159380