Search Results - subject:"Time varying parameters" - EconBiz

The effect of Eurosystem Asset Purchase Programmes on euro area sovergein bond yields during the Covid-19 pandemic

Hondroyiannis, George B.; Papaoikonomou, Dimitrios - 2021

Persistent link: https://www.econbiz.de/10012792394

Stress spillovers among financial markets : evidence from Spain

Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...

Persistent link: https://www.econbiz.de/10012795265

Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TPV-VAR SV models

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013273010

A unified framework to estimate macroeconomic stars

Zaman, Saeed - 2021 - This version: June 30, 2021

Persistent link: https://www.econbiz.de/10013198787

Great moderation with Chinese characteristics : uncovering the role of monetary policy

Sun, Weihong; Liu, Ding - In: Economic modelling 121 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014384542

The time-varying response of hours worked to a productivity shock

Li, Huachen - In: Journal of money, credit and banking : JMCB 55 (2023) 7, pp. 1907-1935

Persistent link: https://www.econbiz.de/10014436110

UK inflation dynamics since the thirteenth century

Nason, James Michael; Smith, Gregor W. - In: International economic review 64 (2023) 4, pp. 1595-1614

Persistent link: https://www.econbiz.de/10014436859

How to go viral : a COVID-19 model with endogenously time-varying parameters

Ho, Paul; Lubik, Thomas A.; Matthes, Christian - In: Journal of econometrics 232 (2023) 1, pp. 70-86

Persistent link: https://www.econbiz.de/10013472838

The dynamic spillover effects of climate policy uncertainty and coal price on carbon price : evidence from China

Yan, Wan-Lin; Cheung, Adrian Wai Kong - In: Finance research letters 53 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014472274

Time-varying coefficient DAR model and stability measures for stablecoin prices : an application to Tether

Djogbenou, Antoine; Inan, Emre; Jasiak, Joann - In: Journal of international money and finance 139 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014478223

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