Search Results - subject:"Generalized forecast error variance decomposition"

Public debt determinants : a time-varying analysis of core and peripheral Euro area countries

Di Serio, Mario - In: Finance research letters 69 (2024) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10015079840

Public debt determinants : a time-varying analysis of core and peripheral Euro area countries

Di Serio, Mario - 2024

Persistent link: https://www.econbiz.de/10015047395

Modelling determinants of inflation in CESEE countries : global vector autoregressive approach

Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169

Persistent link: https://www.econbiz.de/10013270502

The dynamic interaction between investor attention and green security market : an empirical study based on Baidu index

Gao, Yang; Li, Yangyang; Wang, Yaojun - In: China finance review international 13 (2023) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10014312196

News shocks: Different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019

forecast error variance decomposition. We compute generalized impulse response functions that allow for regime transition and … medium-run restrictions. We propose a novel approach to impose these restrictions in a nonlinear model using the generalized …

Persistent link: https://www.econbiz.de/10012271926

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

Persistent link: https://www.econbiz.de/10011967392

Dynamic volatility behaviour in agricultural commodity markets: Evidence from VIRF analysis and spillover index calculations

Bernhardt, Matthias - 2017

This paper provides an empirical analysis of volatility time structures in agricultural markets (sugar, wheat, soybeans and coffee) for a time period from 2008 to 2016. The time period covers at least three food crises which make the analysis interesting for both researches and policy makers. In...

Persistent link: https://www.econbiz.de/10011927205

Dynamic volatility behaviour in agricultural commodity markets : evidence from VIRF analysis and spillover index calculations

Bernhardt, Matthias - 2017

Persistent link: https://www.econbiz.de/10011761775

How do normalization schemes affect net spillovers? : a replication of the Diebold and Yilmaz (2012) study

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: Energy economics 84 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012183350

Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets

Grosche, Stephanie; Heckelei, Thomas - Institut für Lebensmittel und Ressourcenökonomik, … - 2014

The addition of commodities to financial portfolios and resulting weight adjustments may create volatility linkages between commodity and financial markets, especially during financial crises. Also, biofuel mandates are suspected to integrate agricultural and energy markets. We calculate...

Persistent link: https://www.econbiz.de/10010880192