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Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012122051

Impacts of pandemic-related stimulus packages on the stock market : evidence from India and the USA

Kumari, Vineeta; Rai, Varun Kumar; Pandey, Dharen Kumar - In: International journal of Indian culture and business … 29 (2023) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10014318442

Forecasting macroeconomic risks

Adams, Patrick A.; Adrian, Tobias; Boyarchenko, Nina; … - 2020

We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the...

Persistent link: https://www.econbiz.de/10012167481

On the quick estimation of probability of recovery from COVID-19 during first wave of epidemic in India : a logistic regression approach

Joshi, Hemlata; Azarudheen, S.; Nagaraja, M. S.; Singh, … - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 197-208

countries, and India is now one of the worst-affected country in the world. Researchers all around the world are racing to come …. However, in India the recovery rate has been far better than in other countries, and is steadily improving. Still in such a … India for the empirical analysis. …

Persistent link: https://www.econbiz.de/10013419439

Quantile impulse response analysis with applications in macroeconomics and finance

Jung, Whayoung; Lee, Ji Hyung - In: Essays in honor of Joon Y. Park : econometric …, (pp. 99-131). 2023

Persistent link: https://www.econbiz.de/10014315152

Export and GDP growth nexus in India : an econometric study

Datta, Kanchan; De, Subhasis - In: International journal of economic issues : IJEI 7 (2014) 2, pp. 259-277

Persistent link: https://www.econbiz.de/10011289535

Co-movements of the Indian stock market

Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59

Persistent link: https://www.econbiz.de/10011398114

Co-movements of the Indian stock market with select developed markets

Sudhakar, Aare; Sireesha, P. Bhansu - In: GITAM journal of management : a quarterly publication … 12 (2014) 4, pp. 137-156

Persistent link: https://www.econbiz.de/10011292576

Foreign direct investment and macroeconomic factors : evidence from the Indian economy

Tripathi, Vanita; Seth, Ritika; Bhandari, Varun - In: Asia-Pacific journal of management research and … 11 (2015) 1, pp. 46-56

Persistent link: https://www.econbiz.de/10011383278

National stock exchanges (NSE) and national economic development : a vector autoregressive modelling approach with data from thirty (30) sub-Saharan countries ; (2000 - 2013)

Thullah, Joseph Alimamy - In: Journal of world economic research 3 (2014) 6, pp. 109-118

Persistent link: https://www.econbiz.de/10011410234