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Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
Athanasopoulos, George; Guillén, Osmani Teixeira de … - In: Journal of econometrics 164 (2011) 1, pp. 116-129
Persistent link: https://www.econbiz.de/10009270397
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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A characterization of vector autoregressive processes with common cyclical features
Franchi, Massimo; Paruolo, Paolo - In: Journal of econometrics 163 (2011) 1, pp. 105-117
Persistent link: https://www.econbiz.de/10009270438
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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296
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Structural VAR models in the frequency domain
Guay, Alain; Pelgrin, Florian - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332268
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808