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  • Search: subject:"Vector Autoregressive Models"
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Year of publication
Subject
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VAR model 34 VAR-Modell 34 vector autoregressive models 29 Time series analysis 13 Zeitreihenanalyse 13 Vector autoregressive models 11 Estimation theory 10 Schätztheorie 10 Schock 9 Shock 9 Theorie 9 Theory 9 Vector Autoregressive Models 9 Impact assessment 7 Konjunktur 7 Schätzung 7 Wirkungsanalyse 7 Bayesian inference 6 Business cycle 6 Estimation 6 Forecasting model 6 Inflation 6 Prognoseverfahren 6 Cointegration 5 Factor Vector Autoregressive Models 5 Geldpolitik 5 International Business Cycle 5 Kointegration 5 Macro-finance Interface 5 Monetary policy 5 monetary policy 5 structural vector autoregressive models 5 Bayes-Statistik 4 Comovement 4 Forecast 4 Forecasting 4 Oil Price 4 Volatility 4 Volatilität 4 cointegrated vector autoregressive models 4
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Online availability
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Free 101 CC license 2
Type of publication
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Book / Working Paper 82 Article 19
Type of publication (narrower categories)
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Working Paper 48 Graue Literatur 25 Non-commercial literature 25 Arbeitspapier 24 Article in journal 11 Aufsatz in Zeitschrift 11 Article 5
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Language
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English 81 Undetermined 19 Spanish 1
Author
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Boug, Pål 10 Morana, Claudio 8 Cappelen, Ådne 6 Cubadda, Gianluca 5 Kurita, Takamitsu 5 Estrada, Kristine Claire O. 4 Han, Fatima C. 4 Huber, Florian 4 Mapa, Dennis S. 4 Swensen, Anders Rygh 4 Adolfson, Malin 3 Böck, Maximilian 3 Crespo Cuaresma, Jesús 3 Gamerman, Dani 3 Guidolin, Massimo 3 Hauzenberger, Niko 3 Hecq, Alain W. J. 3 Hyde, Stuart 3 Lindé, Jesper 3 Nielsen, Bent 3 Onorante, Luca 3 Pfarrhofer, Michael 3 Stelzer, Anna 3 Villani, Mattias 3 Zens, Gregor 3 Bagliano, Fabio 2 Benedictow, Andreas 2 Berggrun, Luis 2 Cardona, Emilio 2 Haan, Wouter J. den 2 Hejlová, Hana 2 Hoesli, Martin 2 Holm-Hadulla, Fédéric 2 Hungnes, Håvard 2 Japaridze, Dimitri 2 Johansen, Søren 2 Khadan, Jeetendra 2 Kitlinski, Tobias 2 Kubota, Hiroyuki 2 Leiner-Killinger, Nadine 2
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Institution
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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 Fondazione ENI Enrico Mattei (FEEM) 2 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 Institute for Research (SIR), Handelshögskolan i Stockholm 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 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 Discussion Papers / Statistisk Sentralbyrå, Government of Norway 4 Discussion Paper / Tilburg University, Center for Economic Research 3 Econometrics : open access journal 3 MPRA Paper 3 CeRP Working Papers 2 Department of Economics working paper 2 Discussion Paper 2 ECB Working Paper 2 EERI Research Paper Series 2 Econometrics 2 Manchester Business School Working Paper 2 Nota di Lavoro 2 Tinbergen Institute Discussion Papers 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 CEIS Research Paper 1 Carlo Alberto Notebooks 1 Centrale Bank van Suriname Working Paper Series 1 Comparative Economic Research. Central and Eastern Europe 1 Comparative economic research : Central and Eastern Europe 1 Departmental Working Papers of Economics - University 'Roma Tre' 1 Discussion Papers / Turun Kauppakorkeakoulu, Turun Yliopisto 1 Discussion paper 1 Discussion paper / Tinbergen Institute 1 Discussion papers / Statistics Norway, Research Department 1 Document de travail 1 EERI research paper series 1 ERF working papers series : working paper 1 ERIM Report Series Research in Management 1 ESRB Working Paper Series 1 Economics Working Papers / Department of Economics, European University Institute 1 Economics discussion papers 1 Economía teoría y práctica 1
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Source
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ECONIS (ZBW) 36 RePEc 34 EconStor 29 BASE 2
Showing 1 - 10 of 101
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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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Uncovering the inventory-business cycle nexus
Rossi, Luca - 2025
Persistent link: https://www.econbiz.de/10015406421
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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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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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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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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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