Search Results - subject:"Independent component Analysis"

Directed acyclic graph based information shares for price discovery

Zema, Sebastiano Michele - In: Journal of economic dynamics & control 139 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013464838

Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions

Bruns, Stephan B.; Moneta, Alessio; Stern, David I. - In: Energy economics 97 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012820027

Portfolio selection with parsimonious higher comoments estimation

Lassance, Nathan; Vrins, Frédéric - In: Journal of banking & finance 126 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820331

An adaptive decomposition and ensemble model for short-term air pollutant concentration forecast using ICEEMDAN-ICA

Xiao, Yu-jie; Wang, Xiao-kang; Wang, Jian-qiang; Zhang, … - In: Technological forecasting & social change : an … 166 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012693392

The Janus-faced nature of debt: Results from a data-driven cointegrated SVAR approach

Guerini, Mattia; Moneta, Alessio; Napoletano, Mauro; … - 2017

Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the … battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent …

Persistent link: https://www.econbiz.de/10011789748

The Janus-faced nature of debt : results from a data-driven cointegrated SVAR approach

Guerini, Mattia; Moneta, Alessio; Napoletano, Mauro; … - 2017

Persistent link: https://www.econbiz.de/10011598681

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017 - September 2016, revised version

Persistent link: https://www.econbiz.de/10012197832

Macroeconomic responses to an independent monetary policy shock: A (more) agnostic identification procedure

Capasso, Marco; Moneta, Alessio - 2016

This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is...

Persistent link: https://www.econbiz.de/10011789739

Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure

Capasso, Marco; Moneta, Alessio - 2016

Persistent link: https://www.econbiz.de/10011554080

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2016 - March 2016, revised version

Persistent link: https://www.econbiz.de/10011855307