Changing impact of shocks : a time-varying proxy svar approach
Year of publication: |
2023
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Authors: | Mumtaz, Haroon ; Petrova, Katerina |
Published in: |
Journal of money, credit and banking : JMCB. - Oxford : Wiley-Blackwell, ISSN 1538-4616, ZDB-ID 2010422-4. - Vol. 55.2023, 2/3, p. 635-654
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Subject: | proxy VAR | stochastic volatility | tax shocks | time-varying parameters | Schock | Shock | VAR-Modell | VAR model | Volatilität | Volatility | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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