Similar Search Results - EconBiz

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - In: VAR models in macroeconomics - new developments and …, (pp. 169-203). 2013

Persistent link: https://www.econbiz.de/10010252334

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - 2012

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of...

Persistent link: https://www.econbiz.de/10009688810

Measuring common cyclical features during financial turmoil

Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - 2002

Persistent link: https://www.econbiz.de/10001720545

Testing for exceptional bulls and bears : a non-parametric perspective

Candelon, Bertrand; Metiu, Norbert - 2009

Persistent link: https://www.econbiz.de/10003937554

Testing for Granger causality in distribution tails : an application to oil markets integration

Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285

Persistent link: https://www.econbiz.de/10009729103

Government bond market dynamics and sovereign risk : systemic or idiosyncratic?

Bicu, Andreea; Candelon, Bertrand - 2012

Persistent link: https://www.econbiz.de/10009549406

Developed and emerging equity market tail risk : is it constant?

Straetmans, Stefan; Candelon, Bertrand - In: Emerging markets and the global economy, (pp. 241-270). 2014

Persistent link: https://www.econbiz.de/10010434652

Measuring common cyclical features during financial turmoil : evidence of interdependence not contagion

Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - In: Journal of international money and finance 24 (2005) 8, pp. 1317-1334

Persistent link: https://www.econbiz.de/10003229309

Do we need high frequency data to forecast variances?

Banulescu-Radu, Denisa; Hurlin, Christophe; Candelon, … - In: Annals of economics and statistics 123/124 (2016), pp. 135-174

Persistent link: https://www.econbiz.de/10011592741

Multivariate volatility analysis of VW stock prices

Herwartz, Helmut; Lütkepohl, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992357

A service of the