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Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models

Reusens, Peter; Croux, Christophe - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10011743732

Sovereign credit rating determinants : a comparison before and after the European debt crisis

Reusens, Peter; Croux, Christophe - In: Journal of banking & finance 77 (2017), pp. 108-121

Persistent link: https://www.econbiz.de/10011814362

Linearly transforming variables in the VAR model, how does it change the impulse response?

Reusens, Peter; Croux, Christophe - In: Journal of econometric methods 7 (2018) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011945885

Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain

Croux, Christophe; Reusens, Peter - In: Journal of Macroeconomics 35 (2013) C, pp. 93-103

This paper investigates the predictive power for the future domestic economic activity included in the domestic stock prices, using a Granger causality analysis in the frequency domain. We are able to evaluate whether the predictive power is concentrated at the slowly fluctuating components or...

Persistent link: https://www.econbiz.de/10010617301

Identifying demand effects in a large network of product categories

Gelper, Sarah; Wilms, Ines; Croux, Christophe - In: Journal of retailing 92 (2016) 1, pp. 25-39

Persistent link: https://www.econbiz.de/10011484035

The predictive power of the business and bank sentiment of firms : a high-dimensional Granger causality approach

Wilms, Ines; Gelper, Sarah; Croux, Christophe - In: European journal of operational research : EJOR 254 (2016) 1, pp. 138-147

Persistent link: https://www.econbiz.de/10011503231

Commodity dynamics : a sparse multi-class approach

Barbaglia, Luca; Wilms, Ines; Croux, Christophe - In: Energy economics 60 (2016), pp. 62-72

Persistent link: https://www.econbiz.de/10011699783

Forecasting using sparse cointegration

Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267

Persistent link: https://www.econbiz.de/10011622146

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845