Search Results - subject:"VAR Model"

Linear and nonlinear econometric models against machine learning models : realized volatility prediction

Kiliç, Rehim - 2025

Persistent link: https://www.econbiz.de/10015438495

Green fiscal multipliers with different sovereign debt trajectories in EU countries

Afonso, António; Alves, José; Ferrara, Alessio; … - 2025

This paper estimates the fiscal multipliers of green public spending using a linear Bayesian Panel VAR and a Smooth Transition VAR framework, with quarterly data for the period 1995Q1-2022Q4 for EU member states. We group EU member states based on similar- ities in debt trajectories and green...

Persistent link: https://www.econbiz.de/10015438611

The fiscal multiplier in presence of unconventional monetary policy : evidence for 17 OECD countries

Romero, Daniel Fernández - In: Economic modelling 147 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015439193

Climate shocks, economic activity and cross-country spillovers : evidence from a new global model

Ahmadi, Maryam; Casoli, Chiara; Manera, Matteo; … - In: Economic modelling 148 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015440253

The time-varying Multivariate Autoregressive Index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - In: International journal of forecasting 41 (2025) 1, pp. 175-190

Persistent link: https://www.econbiz.de/10015440289

Adaptive local VAR for dynamic economic policy uncertainty spillover

Gillmann, Niels; Okhrin, Ostap - In: Economic modelling 148 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015440322

Forecasting house price growth rates with factor models and spatio-temporal clustering

Mattera, Raffaele; Franses, Philip Hans - In: International journal of forecasting 41 (2025) 1, pp. 398-417

Persistent link: https://www.econbiz.de/10015440334

Exchange rate pass-through to CEE inflation : SVAR approach

Táborský, František - In: Prague economic papers : a bimonthly journal of … 34 (2025) 2, pp. 165-186

This paper examines exchange rate pass-through (ERPT) to prices in Central and Eastern European (CEE) countries, focusing on the Czech Republic, Poland, Hungary, and Romania. We employ a Structural Vector Autoregression (SVAR) model to analyse the transmission of exchange rate shocks to...

Persistent link: https://www.econbiz.de/10015443029

GANs and synthetic financial data : calculating VaR

Allen, David E.; Mushunje, Leonard; Peiris, Shelton - In: Applied economics 57 (2025) 37, pp. 5680-5695

Persistent link: https://www.econbiz.de/10015443343

Identifying monetary policy shocks through external constraints

Fusari, Francesco - In: Journal of macroeconomics 85 (2025), pp. 1-18

Persistent link: https://www.econbiz.de/10015444004