Narrow search
Showing 1 - 10 of 12,847
Cover Image
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …
Persistent link: https://www.econbiz.de/10012250452
Cover Image
Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
Cover Image
Monetary policy, inflation, and inflation volatility in Australia
Hossain, Akhand Akhtar - In: Journal of post-Keynesian economics : JPKE 36 (2014) 4, pp. 745-779
Persistent link: https://www.econbiz.de/10010436837
Cover Image
Inflation and inflation volatility in Australia
Hossain, Akhand Akhtar - In: Economic papers : a journal of applied economics and policy 33 (2014) 2, pp. 163-185
Persistent link: https://www.econbiz.de/10011337228
Cover Image
Inflation and inflation volatility in Thailand
Hossain, Akhand Akhtar; Popkarn Arwatchanakarn - In: Applied economics 48 (2016) 28/30, pp. 2792-2806
Persistent link: https://www.econbiz.de/10011594423
Cover Image
Forecast transparency and inflation volatility : empirical evidence from developing countries
Mazhar, Ummad; M'baye, Cheick Kader - In: Global economy journal : GEJ 16 (2016) 4, pp. 769-787
Persistent link: https://www.econbiz.de/10011594697
Cover Image
From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis
Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016
Persistent link: https://www.econbiz.de/10011503984
Cover Image
Can Central Bank interventions affect the exchange rate volatility? Multivariate GARCH approach using contrained nonlinear programming
C̜as̜kurlu, Tolga; Pinar, Mustafa C̜.; Altay-Salih, … - 2008
Persistent link: https://www.econbiz.de/10003753477
Cover Image
Stock market uncertainty and interest rate behaviour : a panel GARCH approach
Valera, Harold Glenn A.; Holmes, Mark J.; Hassan, Gazi M. - In: Applied economics letters 24 (2017) 10/12, pp. 732-735
Persistent link: https://www.econbiz.de/10011714175
Cover Image
Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be …
Persistent link: https://www.econbiz.de/10010488275