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  • Search: subject:"cointegrated vector autoregressive models"
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Year of publication
Subject
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VAR model 9 VAR-Modell 9 Cointegration 8 Kointegration 8 Estimation theory 6 Schätztheorie 6 Time series analysis 6 Zeitreihenanalyse 6 cointegrated vector autoregressive models 6 Structural break 5 Strukturbruch 5 partial cointegrated vector autoregressive models 4 Exchange rate 3 Structural breaks 3 Wechselkurs 3 equilibrium correction models 3 Einheitswurzeltest 2 Estimation 2 Exchange rates 2 Extreme observations 2 Forecasting model 2 Geldpolitik 2 Kaufkraftparität 2 Monetary policy 2 Partial cointegrated vector autoregressive models 2 Prognoseverfahren 2 Purchasing power parity 2 Schätzung 2 The New Keynesian Phillips Curve 2 The new Keynesian Phillips curve 2 Theorie 2 Theory 2 Unit root test 2 Yield curve 2 Zinsstruktur 2 additive outliers 2 cointegrated vector autoregressive models (CVAR) 2 cointegrating rank 2 cointegration of trends 2 deterministic terms 2
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Online availability
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Free 12 Undetermined 3
Type of publication
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Book / Working Paper 9 Article 8
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Working Paper 5 Graue Literatur 3 Non-commercial literature 3 Arbeitspapier 2 Article 2
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Language
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English 16 Undetermined 1
Author
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Boug, Pål 7 Kurita, Takamitsu 7 Cappelen, Ådne 5 Nielsen, Bent 3 Swensen, Anders Rygh 3 Castle, Jennifer 2 Hungnes, Håvard 2 Johansen, Søren 2 Naccarato, Alessia 2 Pierini, Andrea 2 Swensen, Anders R. 2 Tabor, Morten Nyboe 2 James, Patrick 1
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Institution
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Statistisk Sentralbyrå, Government of Norway 2 Dipartimento di Economia, Università degli Studi di Roma 3 1
Published in...
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Discussion Papers 3 Discussion Papers / Statistisk Sentralbyrå, Government of Norway 2 Econometrics 2 Econometrics : open access journal 2 Department of Economics discussion paper series / University of Oxford 1 Departmental Working Papers of Economics - University 'Roma Tre' 1 Discussion papers / Statistics Norway, Research Department 1 Economics discussion papers 1 Investment management and financial innovations 1 Journal of economic dynamics & control 1 Metroeconomica : international review of economics 1 The Scandinavian journal of economics 1
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Source
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ECONIS (ZBW) 9 EconStor 5 RePEc 3
Showing 11 - 17 of 17
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Multivariate statistical analysis for portfolio selection of italian stock market
Naccarato, Alessia; Pierini, Andrea - Dipartimento di Economia, Università degli Studi di Roma 3 - 2012
The use of bivariate cointegrated vector autoregressive models and Baba-Engle-Kraft-Kroner models ( Engle et al. 1995 …
Persistent link: https://www.econbiz.de/10010585910
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Inflation dynamics in a small open economy
Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh - In: The Scandinavian journal of economics 119 (2017) 4, pp. 1010-1039
Persistent link: https://www.econbiz.de/10011805621
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The new Keynesian Phillips curve: Does it fit Norwegian data?
Boug, Pål; Cappelen, Ådne; Swensen, Anders R. - 2011
cointegrated vector autoregressive models, likelihood based methods and general method of moments. Our results indicate that both …
Persistent link: https://www.econbiz.de/10011968422
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The new Keynesian Phillips curve: Does it fit Norwegian data?
Boug, Pål; Cappelen, Ådne; Swensen, Anders R. - Statistisk Sentralbyrå, Government of Norway - 2011
cointegrated vector autoregressive models, likelihood based methods and general method of moments. Our results indicate that both …
Persistent link: https://www.econbiz.de/10009018413
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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
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The New Keynesian Phillips Curve for a Small Open Economy
Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh - 2006
The New Keynesian Phillips Curve (NKPC) has become the benchmark model for understanding inflation in modern monetary economics. One reason for the popularity is the microfoundation of the model, which decomposes agents' behaviour into price adjustments and deviations of the price level from its...
Persistent link: https://www.econbiz.de/10011968230
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Cover Image
The New Keynesian Phillips Curve for a Small Open Economy
Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2006
The New Keynesian Phillips Curve (NKPC) has become the benchmark model for understanding inflation in modern monetary economics. One reason for the popularity is the microfoundation of the model, which decomposes agents' behaviour into price adjustments and deviations of the price level from its...
Persistent link: https://www.econbiz.de/10004980728
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