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  • Search: subject:"time‐varying parameter"
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Year of publication
Subject
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Schätzung 184 Estimation 179 VAR-Modell 160 VAR model 158 Monetary policy 90 Geldpolitik 78 Zeitreihenanalyse 74 Time series analysis 72 Volatility 69 Volatilität 69 Bayesian inference 64 Theorie 62 Theory 61 Bayes-Statistik 59 Schock 56 Shock 54 Prognoseverfahren 53 Forecasting model 51 Schätztheorie 49 time-varying parameter 49 Estimation theory 48 State space model 42 Time-varying parameter 42 Time-varying parameter model 40 Welt 39 World 39 Time-varying parameter VAR 37 Zustandsraummodell 36 monetary policy 36 Impact assessment 32 Wirkungsanalyse 32 Wechselkurs 28 Exchange rate 27 Oil price 26 time-varying parameter model 26 Stochastic volatility 25 USA 25 United States 25 Ölpreis 25 Inflation 23
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Online availability
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Free 250 Undetermined 183 CC license 15
Type of publication
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Article 256 Book / Working Paper 224 Other 1
Type of publication (narrower categories)
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Article in journal 202 Aufsatz in Zeitschrift 202 Working Paper 113 Graue Literatur 76 Non-commercial literature 76 Arbeitspapier 71 Article 6 Aufsatz im Buch 4 Book section 4 research-article 3 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Konferenzschrift 1 Research Report 1
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Language
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English 371 Undetermined 108 Portuguese 2
Author
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Koop, Gary 19 Huber, Florian 17 Gupta, Rangan 15 Teräsvirta, Timo 13 Michaelis, Henrike 12 Korobilis, Dimitris 10 Nakajima, Jouchi 10 Baxa, Jaromír 9 Eisenstat, Eric 9 Strachan, Rodney W. 9 Ellington, Michael 8 Koopman, Siem Jan 8 Marfatia, Hardik A. 8 Amado, Cristina 7 Horváth, Roman 7 Onorante, Luca 7 Watzka, Sebastian 7 Chan, Joshua 6 Cho, Dooyeon 6 Cimadomo, Jacopo 6 Hauptmeier, Sebastian 6 Kirchner, Markus 6 Marcellino, Massimiliano 6 Vašíček, Bořek 6 Arratibel, Olga 5 Baillie, Richard 5 Buncic, Daniel 5 Campolieti, Michele 5 Gefang, Deborah 5 Gerba, Eddie 5 Guegan, Dominique 5 Hauzenberger, Klemens 5 Horvath, Roman 5 Hristov, Nikolay 5 Hülsewig, Oliver 5 Siemsen, Thomas 5 Wollmershäuser, Timo 5 Zhang, Jing 5 Akbar, Farhan 4 Blasques, Francisco 4
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Institution
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HAL 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Institute for Monetary and Economic Studies, Bank of Japan 5 European Central Bank 4 Česká Národní Banka 4 CESifo 3 Rimini Centre for Economic Analysis (RCEA) 3 School of Economics and Management, University of Aarhus 3 Society for Computational Economics - SCE 3 Bank for International Settlements (BIS) 2 Crawford School of Public Policy, Australian National University 2 Departament d'Economia Aplicada, Universitat Autònoma de Barcelona 2 Department of Econometrics and Business Statistics, Monash Business School 2 Deutsche Bundesbank 2 Economics Department, University of Strathclyde 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Institut ekonomických studií, Univerzita Karlova v Praze 2 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 2 Institute of Economic Research, Hitotsubashi University 2 London School of Economics (LSE) 2 Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho 2 School of Economics and Political Science, Universität St. Gallen 2 Tinbergen Instituut 2 Türkiye Cumhuriyet Merkez Bankası 2 Agricultural and Applied Economics Association - AAEA 1 Banco de la Republica de Colombia 1 Bank of England 1 Bank of Japan 1 C.E.P.R. Discussion Papers 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, Adam Smith Business School 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Florida International University 1 Department of Economics, Sciences économiques 1 Department of Economics, University of Connecticut 1 Department of International and European Economic Studies, Athens University of Economics and Business (AUEB) 1
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Published in...
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Economic modelling 10 Economics letters 9 Applied economics 8 CAMA working paper series 7 Journal of macroeconomics 7 Energy economics 6 Working Paper 6 Discussion paper / Tinbergen Institute 5 ECB Working Paper 5 IMES Discussion Paper Series 5 Journal of economic dynamics & control 5 MPRA Paper 5 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 5 Tinbergen Institute Discussion Paper 5 Working paper 5 Econometric reviews 4 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 4 International review of economics & finance : IREF 4 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 4 Journal of econometrics 4 Journal of forecasting 4 Journal of international money and finance 4 Post-Print / HAL 4 SSE/EFI Working Paper Series in Economics and Finance 4 The North American journal of economics and finance : a journal of financial economics studies 4 Working Paper Series / European Central Bank 4 Working Papers / Česká Národní Banka 4 CESifo Working Paper 3 CESifo Working Paper Series 3 CESifo working papers 3 CREATES Research Papers 3 Economies : open access journal 3 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 3 Finance research letters 3 Financial innovation : FIN 3 International journal of forecasting 3 Journal of banking & finance 3 Journal of empirical finance 3 Journal of international financial markets, institutions & money 3 MNB Working Papers 3
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Source
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ECONIS (ZBW) 284 RePEc 144 EconStor 49 Other ZBW resources 3 BASE 1
Showing 1 - 10 of 481
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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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Does the tail of finance wag the dog of the real economy? : dynamic connectedness of the stock market and business confidence
Tita, Anthanasius Fomum; French, Joseph J.; Gurdgiev, … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015330577
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How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe
Petz, Nico; Zörner, Thomas - 2025
, analyzed with time-varying parameter (TVP) models, reveals a steepening of the Phillips curve postCOVID-19, with negative slope …
Persistent link: https://www.econbiz.de/10015402052
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Dynamic kernel models
Vallarino, Pierluigi - 2024
This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...
Persistent link: https://www.econbiz.de/10015209795
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014551600
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Cover Image
Dynamic kernel models
Vallarino, Pierluigi - 2024
This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...
Persistent link: https://www.econbiz.de/10015175638
Saved in:
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Unveiling the mystery of the responsiveness of inbound tourism to economic policy uncertainty : new evidence from Australia
Gong, Yuting; Chang, Chia-Hsun; Lee, Paul T.-W.; Yin, Jingbo - In: Tourism economics : the business and finance of tourism … 30 (2024) 8, pp. 2159-2180
Persistent link: https://www.econbiz.de/10015145378
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The evolution of the response of credit spread variables to monetary policy shocks
Kim, Do-wan - 2024
Persistent link: https://www.econbiz.de/10014455517
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
Saved in:
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International Transmission of Macroeconomic Uncertainty in China: A Time-varying Bayesian Global SVAR Approach
Kim, Wongi - In: East Asian Economic Review (EAER) 28 (2024) 1, pp. 95-140
This study empirically investigates the international transmission of China's uncertainty shocks. It estimates a time-varying … parameter Bayesian global structural vector autoregressive model (TVP-BGVAR) using time series data for 33 countries to evaluate …
Persistent link: https://www.econbiz.de/10015398021
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