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  • Search: subject:"VAR"
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Year of publication
Subject
All
VAR-Modell 16,551 VAR model 16,394 Theorie 8,622 Theory 8,524 Risikomaß 8,318 Risk measure 8,311 Ägypten 5,667 Egypt 5,653 Schock 5,649 Shock 5,551 Schätzung 5,214 Estimation 5,099 Monetary policy 3,769 Geldpolitik 3,765 Risk 3,759 Risiko 3,758 Portfolio-Management 3,417 Portfolio selection 3,412 Risikomanagement 3,044 Risk management 3,003 Volatilität 2,757 Volatility 2,755 Prognoseverfahren 2,629 Forecasting model 2,582 USA 2,475 United States 2,361 Zeitreihenanalyse 2,347 Time series analysis 2,302 Wirkungsanalyse 2,253 Impact assessment 2,235 Welt 2,041 World 2,007 VAR 1,888 Schätztheorie 1,866 Estimation theory 1,860 Konjunktur 1,767 Business cycle 1,733 Bayes-Statistik 1,697 Bayesian inference 1,692 ARCH-Modell 1,676
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Online availability
All
Free 15,680 Undetermined 8,522 CC license 944
Type of publication
All
Article 18,375 Book / Working Paper 17,056 Journal 73 Other 37
Type of publication (narrower categories)
All
Article in journal 15,502 Aufsatz in Zeitschrift 15,502 Working Paper 7,873 Graue Literatur 7,286 Non-commercial literature 7,286 Arbeitspapier 6,726 Aufsatz im Buch 1,141 Book section 1,141 Hochschulschrift 620 Thesis 481 Article 270 Collection of articles of several authors 190 Sammelwerk 190 Conference paper 124 Konferenzbeitrag 124 Amtsdruckschrift 120 Government document 120 Collection of articles written by one author 93 Sammlung 93 Bibliografie enthalten 87 Bibliography included 87 Case study 85 Fallstudie 85 research-article 83 Aufsatzsammlung 82 Konferenzschrift 82 Dissertation u.a. Prüfungsschriften 37 Statistik 34 Lehrbuch 33 No longer published / No longer aquired 31 Conference proceedings 28 Textbook 28 Statistics 21 Amtliche Publikation 17 Bibliografie 17 Conference Paper 17 Handbook 17 Handbuch 17 Research Report 15 Systematic review 15
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Language
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English 31,954 Undetermined 2,358 German 717 French 200 Spanish 153 Portuguese 55 Arabic 24 Polish 23 Italian 22 Czech 21 Russian 11 Croatian 7 Romanian 7 Slovak 6 Turkish 6 Norwegian 4 Danish 3 Lithuanian 3 Swedish 3 Egyptian (Ancient) 2 Hebrew 2 Hungarian 2 Dutch 2 Slovenian 2 Indonesian 1 Albanian 1 Serbian 1 Ukrainian 1 Chinese 1
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Author
All
Lütkepohl, Helmut 205 Gupta, Rangan 185 McAleer, Michael 160 Marcellino, Massimiliano 159 Pesaran, M. Hashem 155 Mumtaz, Haroon 138 Kilian, Lutz 121 Gambetti, Luca 107 Caporale, Guglielmo Maria 106 Koop, Gary 101 Castelnuovo, Efrem 100 Canova, Fabio 96 Chudik, Alexander 94 Huber, Florian 93 Giannone, Domenico 84 Carriero, Andrea 83 Clark, Todd E. 74 Minford, Patrick 74 Schorfheide, Frank 73 Jusélius, Katarina 72 Theodoridis, Konstantinos 72 Caggiano, Giovanni 71 Johansen, Søren 70 Österholm, Pär 70 Afonso, António 68 Korobilis, Dimitris 68 Fève, Patrick 67 Smith, L. Vanessa 62 Farzanegan, Mohammad Reza 61 Härdle, Wolfgang 61 Belke, Ansgar 60 Kapetanios, George 60 Tillmann, Peter 60 Dées, Stéphane 59 Allen, David E. 58 Rault, Christophe 58 Ciccarelli, Matteo 57 Wickens, Michael R. 57 Benati, Luca 56 Asʿad, Rāǧī 54
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 241 National Bureau of Economic Research 137 C.E.P.R. Discussion Papers 82 European Central Bank 80 HAL 56 World Bank 56 EconWPA 50 International Monetary Fund (IMF) 46 CESifo 37 Department of Economics, Faculty of Economic and Management Sciences 34 OECD 34 International Monetary Fund 30 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 29 Vereinte Nationen / Economic and Social Commission for Western Asia 26 Norges Bank 23 Økonomisk Institut, Københavns Universitet 22 Institut de Préparation à l'Administration et à la Gestion (IPAG) 21 Institut für Weltwirtschaft (IfW) 21 Banca d'Italia 19 Deutsche Bundesbank 19 School of Economics and Management, University of Aarhus 19 World Bank Group 18 Banco de la Republica de Colombia 17 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 16 European University Institute / Department of Economics 16 Faculty of Economics, University of Cambridge 16 Society for Computational Economics - SCE 16 Vereinigte Arabische Republik 16 Banque de France 15 Econometric Society 15 Weltbank 15 BANCO DE LA REPÚBLICA 14 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 14 European University Institute / Department of Law 14 Internationaler Währungsfonds 14 Center for Financial Studies 13 Centre de recherche en Économie (OFCE), Sciences économiques 13 Federal Reserve Bank of St. Louis 13 Institute for the Study of Labor (IZA) 13 Tinbergen Instituut 13
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Published in...
All
Energy economics 330 Economic modelling 321 Applied economics 308 Working paper 288 ECB Working Paper 263 Finance research letters 258 Insurance / Mathematics & economics 254 Journal of banking & finance 240 MPRA Paper 240 Economics letters 232 Working paper series / European Central Bank 220 CESifo working papers 211 Journal of econometrics 183 Discussion paper / Centre for Economic Policy Research 179 Journal of international money and finance 177 International review of economics & finance : IREF 165 Journal of economic dynamics & control 160 Working Paper 156 IMF working papers 154 International journal of forecasting 154 Applied economics letters 148 International Journal of Energy Economics and Policy : IJEEP 148 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 144 Risks : open access journal 143 European journal of operational research : EJOR 141 CESifo Working Paper 140 NBER working paper series 136 Discussion papers / CEPR 134 International review of financial analysis 132 Journal of risk 130 The North American journal of economics and finance : a journal of financial economics studies 129 CAMA working paper series 126 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 120 Discussion paper / Tinbergen Institute 118 Journal of forecasting 114 Working paper / National Bureau of Economic Research, Inc. 111 Journal of macroeconomics 110 NBER Working Paper 110 Research in international business and finance 106 Discussion paper 105
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Source
All
ECONIS (ZBW) 30,801 RePEc 3,033 EconStor 1,460 Other ZBW resources 86 BASE 78 USB Cologne (EcoSocSci) 66 OLC EcoSci 9 ArchiDok 8
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Showing 1 - 10 of 35,541
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Comparing external and internal instruments for vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2025 - This version: February 11, 2025
In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically … internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and …
Persistent link: https://www.econbiz.de/10015205441
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Uncertainty, risk, and opaque stock markets
Astaíza-Gómez, José Gabriel - 2025
structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …
Persistent link: https://www.econbiz.de/10015338312
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Impact of climate change on dynamic tail-risk connectedness among stock market social sectors : evidence from the US, Europe, and China
Cao, Yufei - 2025
Persistent link: https://www.econbiz.de/10015359906
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Long-lag VARs
De Graeve, Ferre; Westermark, Andreas - 2025
Macroeconomic research often relies on structural vector autoregressions, (S)VARs, to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to important data-generating processes (e.g. DSGE-models). Empirically,...
Persistent link: https://www.econbiz.de/10015403531
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Cover Image
Comparing external and internal instruments for vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2025
In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically … internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and …
Persistent link: https://www.econbiz.de/10015211255
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A new look at cross-country aggregation in the global VAR approach : theory and Monte Carlo simulation
Gündüz, Halil İbrahim; Emirmahmutoglu, Furkan; … - In: Computational economics 65 (2025) 1, pp. 21-67
Persistent link: https://www.econbiz.de/10015195756
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Immigration (from Ukraine) and labour market in Poland : evidence from Bayesian VAR models
Postek, Łukasz; Walerych, Małgorzata - 2025
Persistent link: https://www.econbiz.de/10015197278
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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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An enquiry into the monetary policy and stock market shocks in the US
Sharif, Taimur; Bouteska, Ahmed; Abedin, Mohammad Zoynul; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-35
Persistent link: https://www.econbiz.de/10015331619
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The effects of physical and transition climate risk on stock markets : some multi-country evidence
Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - In: International economics : the quarterly journal in … 181 (2025), pp. 1-17
Persistent link: https://www.econbiz.de/10015329618
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