Search Results - subject:"time varying parameter model" - EconBiz

A bank's optimal capital ratio : a time-varying parameter model to the partial adjustment framework

Baik, Hyeoncheol; Han, Sumin; Joo, Sunghoon; Lee, Kangbok - In: Journal of banking & finance 142 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013473072

GDP volatility implication of tourism volatility in South Africa : a time-varying approach

Lee, Chien-Chiang; Olasehinde-Williams, Godwin O; … - In: Tourism economics : the business and finance of tourism … 28 (2022) 2, pp. 435-450

Persistent link: https://www.econbiz.de/10013176781

Measuring dynamic connectedness with large Bayesian VAR models

Korobilis, Dimitris; Yılmaz, Kamil - 2018

We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the...

Persistent link: https://www.econbiz.de/10012060204

Measuring dynamic connectedness with large Bayesian VAR models

Korobilis, Dimitris; Yılmaz, Kamil - 2018

We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the...

Persistent link: https://www.econbiz.de/10011778195

Search Frictions and evolving labour market dynamics

Ellington, Michael; Martin, Christopher Ian; Wang, Bingsong - In: Journal of economic dynamics & control 127 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012668940

Can a time-varying structure provide a more robust panel construction of counterfactuals-straitjacket or straitjackets?

Wan, Shui Ki; Hsiao, Cheng; Zhou, Qiankun - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 113-129

Persistent link: https://www.econbiz.de/10012488899

High-dimensional macroeconomic forecasting using message passing algorithms

Korobilis, Dimitris - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 493-504

Persistent link: https://www.econbiz.de/10012499094

Returns, volatility and the cryptocurrency bubble of 2017-18

Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013164208

Modeling the evolution of monetary policy rules in CESEE

Feldkircher, Martin; Huber, Florian; Moder, Isabella - In: Focus on European economic integration (2016) 1, pp. 8-27

Persistent link: https://www.econbiz.de/10011669481

Modeling changes in US monetary policy

Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - 2016

Persistent link: https://www.econbiz.de/10012176808

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