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Asymmetric generalized impulse responses with an application in finance

Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22

Persistent link: https://www.econbiz.de/10010412088

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

The time-varying effects of permanent and transistory shocks to real output

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

Persistent link: https://www.econbiz.de/10011308634

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

Persistent link: https://www.econbiz.de/10011389735

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

Measurement errors and monetary policy : then and now

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of economic dynamics & control 79 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011817602

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012250452

Macroeconomic uncertainty and vector autoregressions

Forni, Mario; Gambetti, Luca; Sala, Luca - 2021

Persistent link: https://www.econbiz.de/10012417673

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

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