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  • Search: subject:"Vector AutoRegressive models"
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Year of publication
Subject
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VAR model 78 VAR-Modell 78 vector autoregressive models 42 Vector autoregressive models 35 Time series analysis 23 Zeitreihenanalyse 23 Estimation theory 19 Schätztheorie 19 Theorie 19 Theory 19 Schock 18 Shock 18 Schätzung 16 Bayesian inference 15 Estimation 15 Forecasting model 15 Prognoseverfahren 15 Cointegration 14 factor vector autoregressive models 14 Bayes-Statistik 12 Kointegration 12 Vector Autoregressive Models 12 Financial crisis 11 Great Recession 11 Geldpolitik 10 Impact assessment 10 Monetary policy 10 Volatility 10 Volatilität 10 Wirkungsanalyse 10 international business cycle 10 Forecasting 9 Oil price 9 financial crisis 9 Causality analysis 8 Factor vector autoregressive models 8 Finanzkrise 8 Forecast 8 Inflation 8 Kausalanalyse 8
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Online availability
All
Free 100 Undetermined 59 CC license 2
Type of publication
All
Book / Working Paper 101 Article 90
Type of publication (narrower categories)
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Article in journal 59 Aufsatz in Zeitschrift 59 Working Paper 50 Graue Literatur 27 Non-commercial literature 27 Arbeitspapier 26 Article 5 research-article 1
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Language
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English 138 Undetermined 50 Spanish 3
Author
All
Morana, Claudio 27 Boug, Pål 13 Bagliano, Fabio C. 12 Cappelen, Ådne 7 Guidolin, Massimo 7 Kurita, Takamitsu 7 Swensen, Anders Rygh 7 Cubadda, Gianluca 6 Crespo Cuaresma, Jesús 5 Gamerman, Dani 5 Gupta, Rangan 5 Huber, Florian 5 Hyde, Stuart 5 Adolfson, Malin 4 Benedictow, Andreas 4 Estrada, Kristine Claire O. 4 Han, Fatima C. 4 Mapa, Dennis S. 4 Onorante, Luca 4 Villani, Mattias 4 Aristei, David 3 Bagliano, Fabio 3 Böck, Maximilian 3 Hauzenberger, Niko 3 Hecq, Alain W. J. 3 Lindé, Jesper 3 Moreira, Ajax 3 Nielsen, Bent 3 Pfarrhofer, Michael 3 Stelzer, Anna 3 Zens, Gregor 3 Bali, Morad 2 Berggrun, Luis 2 Bernardini, Emmanuela 2 Bianchi, Daniele 2 Brännström, Tomas 2 Cardona, Emilio 2 Castle, Jennifer 2 Gallo, Manuela 2 Ghodsi, Zara 2
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Institution
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Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche, Università degli Studi di Torino 5 International Centre for Economic Research (ICER) 4 Statistisk Sentralbyrå, Government of Norway 4 Tilburg University, Center for Economic Research 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto 2 Department of Economics, Faculty of Economic and Management Sciences 2 Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS), Facoltà di Economia 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Fondazione ENI Enrico Mattei (FEEM) 2 C.E.P.R. Discussion Papers 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Department of Economics, Auburn University 1 Department of Economics, European University Institute 1 Dipartimento di Economia, Università degli Studi di Perugia 1 Dipartimento di Economia, Università degli Studi di Roma 3 1 Economics and Econometrics Research Institute (EERI) 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 European Central Bank 1 Henley Business School, University of Reading 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 School of Economics, Finance and Management, University of Bristol 1 Siirtymätalouksien tutkimuslaitos, Suomen Pankki 1 Suomen Pankki 1 Sveriges Riksbank 1 Tinbergen Institute 1 Tinbergen Instituut 1 Turun Kauppakorkeakoulu, Turun Yliopisto 1 William Davidson Institute, University of Michigan 1
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Published in...
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CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 5 Discussion Papers 5 Working papers / Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche, Università degli Studi di Torino 5 Discussion Papers / Statistisk Sentralbyrå, Government of Norway 4 Discussion Paper / Tilburg University, Center for Economic Research 3 Discussion paper 3 Econometrics : open access journal 3 Empirical Economics 3 Journal of Banking & Finance 3 MPRA Paper 3 Applied economics 2 CeRP Working Papers 2 Department of Economics working paper 2 Discussion Paper 2 ECB Working Paper 2 EERI Research Paper Series 2 Econometrics 2 Economic modelling 2 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 2 ICER Working Papers 2 ICER Working Papers - Applied Mathematics Series 2 Journal of Economic Studies 2 Journal of econometrics 2 Journal of economic dynamics & control 2 Journal of policy modeling : JPMOD ; a social science forum of world issues 2 Manchester Business School Working Paper 2 Marketing Science 2 Nota di Lavoro 2 SSE/EFI Working Paper Series in Economics and Finance 2 Tinbergen Institute Discussion Papers 2 Tourism economics : the business and finance of tourism and recreation 2 Working Papers / Department of Economics, Faculty of Economic and Management Sciences 2 Working Papers / Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS), Facoltà di Economia 2 Working Papers / Fondazione ENI Enrico Mattei (FEEM) 2 Auburn Economics Working Paper Series 1 BOFIT Discussion Papers 1 Baltic Journal of Economics 1 Baltic journal of economics 1 Bristol Economics Discussion Papers 1 CARF working paper 1
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Source
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ECONIS (ZBW) 86 RePEc 73 EconStor 29 BASE 2 Other ZBW resources 1
Showing 1 - 10 of 191
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The time-varying multivariate autoregressive index model
Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024
Persistent link: https://www.econbiz.de/10014515646
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Macroeconomic effects of monetary policy in Japan : an analysis using interest rate futures surprises
Kubota, Hiroyuki; Shintani, Mototsugu - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 783-801
Persistent link: https://www.econbiz.de/10015193877
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Forecasting Markov switching vector autoregressions : evidence from simulation and application
Cavicchioli, Maddalena - In: Journal of forecasting 44 (2025) 1, pp. 136-152
Persistent link: https://www.econbiz.de/10015374001
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Getting back on track: Forecasting after extreme observations
Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2024
This paper examines the forecast accuracy of cointegrated vector autoregressive models when confronted with extreme … study empirically demonstrates that cointegrated vector autoregressive models incorporating additive outlier corrections …
Persistent link: https://www.econbiz.de/10015195440
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Understanding the future of critical raw materials for the energy transition : SVAR models for the U.S. market
Romani, Ilenia Gaia; Casoli, Chiara - 2024
Persistent link: https://www.econbiz.de/10014504830
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On the validity of granger causality for ecological count time series
Papaspyropoulos, Konstantinos G.; Kugiumtzis, Dimitris - In: Econometrics : open access journal 12 (2024) 2, pp. 1-21
Knowledge of causal relationships is fundamental for understanding the dynamic mechanisms of ecological systems. To detect such relationships from multivariate time series, Granger causality, an idea first developed in econometrics, has been formulated in terms of vector autoregressive (VAR)...
Persistent link: https://www.econbiz.de/10014636412
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Does monetary policy respond differently to oil price shocks? : new evidence from the Gulf Cooperation Council countries
Al-Hashel, Mohammad; Alrashidi, Atef; Saidi, Youssef - 2024
Persistent link: https://www.econbiz.de/10015064671
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Cover Image
Getting back on track : forecasting after extreme observations
Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2024
This paper examines the forecast accuracy of cointegrated vector autoregressive models when confronted with extreme … study empirically demonstrates that cointegrated vector autoregressive models incorporating additive outlier corrections …
Persistent link: https://www.econbiz.de/10015182571
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The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca; Mazzali, Marco - 2023
Persistent link: https://www.econbiz.de/10014248988
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Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.; Margaritella, Luca; Smeekes, Stephan - In: Journal of financial econometrics 21 (2023) 3, pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
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