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  • Search: subject:"Time varying parameter"
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Year of publication
Subject
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Schätzung 70 Estimation 65 VAR-Modell 65 VAR model 63 Bayesian inference 40 Monetary policy 38 Bayes-Statistik 36 time-varying parameter 36 Geldpolitik 31 monetary policy 29 Zeitreihenanalyse 28 Time series analysis 26 Volatility 25 Volatilität 25 Schätztheorie 24 Estimation theory 23 Schock 21 Prognoseverfahren 20 Theorie 20 Shock 19 Theory 19 Forecasting model 18 State space model 16 Monte Carlo simulation 15 Monte-Carlo-Simulation 15 Time-varying parameter model 15 time-varying parameter model 15 Taylor rule 13 Bayesian time-varying parameter VAR 12 Regression analysis 12 Regressionsanalyse 12 Structural change 12 Zustandsraummodell 12 Geldpolitische Transmission 11 Markov chain 11 Markov-Kette 11 Nonlinear time series 11 Time-varying parameter 11 Time-varying parameter VAR 11 Wechselkurs 11
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Online availability
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Free 252 CC license 15
Type of publication
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Book / Working Paper 209 Article 42 Other 1
Type of publication (narrower categories)
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Working Paper 112 Graue Literatur 74 Non-commercial literature 74 Arbeitspapier 69 Article in journal 31 Aufsatz in Zeitschrift 31 Article 6 Hochschulschrift 1 Konferenzschrift 1 Research Report 1
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Language
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English 188 Undetermined 62 Portuguese 2
Author
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Huber, Florian 14 Koop, Gary 12 Michaelis, Henrike 11 Teräsvirta, Timo 11 Korobilis, Dimitris 9 Nakajima, Jouchi 8 Strachan, Rodney W. 7 Cimadomo, Jacopo 6 Eisenstat, Eric 6 Hauptmeier, Sebastian 6 Kirchner, Markus 6 Koopman, Siem Jan 6 Watzka, Sebastian 6 Amado, Cristina 5 Arratibel, Olga 5 Guegan, Dominique 5 Horvath, Roman 5 Onorante, Luca 5 Zhang, Jing 5 Baillie, Richard 4 Baxa, Jaromír 4 Calonaci, Fabio 4 Feldkircher, Martin 4 Gerba, Eddie 4 Gupta, Rangan 4 Hauzenberger, Klemens 4 Horváth, Roman 4 Hristov, Nikolay 4 Hülsewig, Oliver 4 Kapetanios, George 4 Siemsen, Thomas 4 Wollmershäuser, Timo 4 Baxa, Jaromir 3 Blasques, Francisco 3 Chan, Joshua 3 González, Andrés 3 Hauzenberger, Niko 3 Hubrich, Kirstin 3 Kışla, Gül Huyugüzel 3 Marcellino, Massimiliano 3
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Institution
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HAL 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Institute for Monetary and Economic Studies, Bank of Japan 5 European Central Bank 4 Česká Národní Banka 4 CESifo 3 Rimini Centre for Economic Analysis (RCEA) 3 School of Economics and Management, University of Aarhus 3 Bank for International Settlements (BIS) 2 Crawford School of Public Policy, Australian National University 2 Departament d'Economia Aplicada, Universitat Autònoma de Barcelona 2 Department of Econometrics and Business Statistics, Monash Business School 2 Deutsche Bundesbank 2 Economics Department, University of Strathclyde 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Institut ekonomických studií, Univerzita Karlova v Praze 2 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 2 Institute of Economic Research, Hitotsubashi University 2 London School of Economics (LSE) 2 Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho 2 Society for Computational Economics - SCE 2 Tinbergen Instituut 2 Türkiye Cumhuriyet Merkez Bankası 2 Banco de la Republica de Colombia 1 Bank of England 1 Bank of Japan 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, Adam Smith Business School 1 Department of Economics, Florida International University 1 Department of Economics, Sciences économiques 1 Department of International and European Economic Studies, Athens University of Economics and Business (AUEB) 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 International Association of Agricultural Economists - IAAE 1
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Published in...
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CAMA working paper series 7 Working Paper 6 Discussion paper / Tinbergen Institute 5 ECB Working Paper 5 IMES Discussion Paper Series 5 MPRA Paper 5 Tinbergen Institute Discussion Paper 5 Working paper 5 Post-Print / HAL 4 SSE/EFI Working Paper Series in Economics and Finance 4 Working Paper Series / European Central Bank 4 Working Papers / Česká Národní Banka 4 CESifo Working Paper 3 CESifo Working Paper Series 3 CESifo working papers 3 CREATES Research Papers 3 Economies : open access journal 3 Financial innovation : FIN 3 MNB Working Papers 3 Strathclyde discussion papers in economics 3 Tinbergen Institute Discussion Papers 3 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 3 Working Papers / HAL 3 Análise econômica : revista da Faculdade de Ciências Econômicas, Universidade Federal do Rio Grande do Sul 2 BIS Working Papers 2 CAMA Working Papers 2 Discussion Papers in Economics 2 Discussion papers / Adam Smith Business School, University of Glasgow 2 Documento de trabajo 2 Economics Bulletin 2 Financial Innovation 2 Focus on European economic integration 2 Global COE Hi-Stat Discussion Paper Series 2 International Journal of Energy Economics and Policy : IJEEP 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 LSE Research Online Documents on Economics 2 Monash Econometrics and Business Statistics Working Papers 2 Munich Discussion Paper 2 Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers 2
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Source
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ECONIS (ZBW) 106 RePEc 95 EconStor 50 BASE 1
Showing 1 - 10 of 252
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Dynamic spillovers of economic policy uncertainty : a TVP-VAR analysis of Latin American and global EPU indices
Marín-Rodríguez, Nini Johana; González-Ruíz, Juan David - In: Economies : open access journal 13 (2025) 1, pp. 1-28
, as well as a global EPU index. Using a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with monthly data …
Persistent link: https://www.econbiz.de/10015206927
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Does the tail of finance wag the dog of the real economy? : dynamic connectedness of the stock market and business confidence
Tita, Anthanasius Fomum; French, Joseph J.; Gurdgiev, … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015330577
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How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe
Petz, Nico; Zörner, Thomas - 2025
, analyzed with time-varying parameter (TVP) models, reveals a steepening of the Phillips curve postCOVID-19, with negative slope …
Persistent link: https://www.econbiz.de/10015402052
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The short-run impact of investor expectations' past volatility on current predictions : the case of VIX
Dima, Bogdan; Dima, Ștefana Maria; Ioan, Roxana - In: Journal of international financial markets, … 98 (2025), pp. 1-37
Persistent link: https://www.econbiz.de/10015405665
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How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe
Petz, Nico; Zörner, Thomas - 2025
, analyzed with time-varying parameter (TVP) models, reveals a steepening of the Phillips curve postCOVID-19, with negative slope …
Persistent link: https://www.econbiz.de/10015407596
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Dynamic kernel models
Vallarino, Pierluigi - 2024
This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...
Persistent link: https://www.econbiz.de/10015209795
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014551600
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Cover Image
Dynamic kernel models
Vallarino, Pierluigi - 2024
This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...
Persistent link: https://www.econbiz.de/10015175638
Saved in:
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Unveiling the mystery of the responsiveness of inbound tourism to economic policy uncertainty : new evidence from Australia
Gong, Yuting; Chang, Chia-Hsun; Lee, Paul T.-W.; Yin, Jingbo - In: Tourism economics : the business and finance of tourism … 30 (2024) 8, pp. 2159-2180
Persistent link: https://www.econbiz.de/10015145378
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The evolution of the response of credit spread variables to monetary policy shocks
Kim, Do-wan - 2024
Persistent link: https://www.econbiz.de/10014455517
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