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Identification through heteroskedasticity
Rigobón, Roberto - In: The review of economics and statistics 85 (2003) 4, pp. 777-792
Persistent link: https://www.econbiz.de/10001830036
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Identification through heteroskedasticity : measuring "contagion" between Argentinean and Mexican sovereign bonds
Rigobón, Roberto - 2000
Persistent link: https://www.econbiz.de/10001448423
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Identification through Heteroskedasticity : Measuring "Contagion
Rigobon, Roberto - 2000
contagion across sovereign bonds between Argentina and Mexico. The estimates of the simultaneous parameters are relatively to …
Persistent link: https://www.econbiz.de/10012471283
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011771740
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On the measurement of the international propagation of shocks: is the transmission stable?
Rigobón, Roberto - In: Journal of international economics 61 (2003) 2, pp. 261-283
Persistent link: https://www.econbiz.de/10001815790
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On the measurement of the international propagation of shocks
Rigobón, Roberto - 1999
Persistent link: https://www.econbiz.de/10001418703
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The curse of non-investment grade countries
Rigobón, Roberto - In: Journal of development economics 69 (2002) 2, pp. 423-449
Persistent link: https://www.econbiz.de/10001713161
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The curse of non-investment grade countries
Rigobón, Roberto - 2001
Persistent link: https://www.econbiz.de/10001630040
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The Curse of Non-Investment Grade Countries
Rigobon, Roberto - 2021
event on the properties of the transmission of shocks between Argentina and Mexico. The paper shows that there is a …Mexico was upgraded from non-investment to investment grade in March of 2000. This paper examines the impact of this … identification procedure based on conditional heteroskedasticity (ARCH) that solves the problem of estimation in a linear …
Persistent link: https://www.econbiz.de/10013248393
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The Curse of Non-Investment Grade Countries
Rigobon, Roberto - 2001
event on the properties of the transmission of shocks between Argentina and Mexico. The paper shows that there is a …Mexico was upgraded from non-investment to investment grade in March of 2000. This paper examines the impact of this … identification procedure based on conditional heteroskedasticity (ARCH) that solves the problem of estimation in a linear …
Persistent link: https://www.econbiz.de/10012470080