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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
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A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul; Zhong, Molin - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
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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
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Volatility spillovers across European stock markets under the uncertainty of Brexit
Li, Hong - In: Economic modelling 84 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012210266
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Backtesting VaR models : the case of commodities
Shankar, Devesh; Bedi, Prateek; Agnihotri, Shalini; … - In: Business analyst : a refereed journal of Shri Ram … 38 (2017) 1, pp. 36-57
Persistent link: https://www.econbiz.de/10012212962
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Exchange rate shocks and trade : a multivariate GARCH-M approach
Grier, Kevin; Smallwood, Aaron D. - In: Journal of international money and finance 37 (2013), pp. 282-305
Persistent link: https://www.econbiz.de/10010209078
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - In: Journal of economic surveys 30 (2016) 2, pp. 377-392
Persistent link: https://www.econbiz.de/10011553496
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Macroeconomic uncertainty and vector autoregressions
Forni, Mario; Gambetti, Luca; Sala, Luca - 2021
Persistent link: https://www.econbiz.de/10012417673
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Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2024
Persistent link: https://www.econbiz.de/10015130707