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Optimal look-back period for adequate and less procyclical credit capital forecasts
Lee, Yong Woong; Cho, Yongbok; Yang, Kisung - In: Applied economics 53 (2021) 46, pp. 5337-5353
Persistent link: https://www.econbiz.de/10012626877
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Monetary policy shocks and delayed overshooting in farm prices and exchange rates
Kim, Jihae; Kim, So-yŏng - In: International review of economics & finance : IREF 71 (2021), pp. 620-628
Persistent link: https://www.econbiz.de/10012628002
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The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks
Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318
Persistent link: https://www.econbiz.de/10012671925
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Econometric modeling and forecasting of interest rates in Montenegro
Pejović, Bojan; Karadži, Vesna - In: Economic analysis : EA 53 (2020) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10012238470
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A generalised stochastic volatility in mean VAR : an updated algorithm
Mumtaz, Haroon - 2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020
stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to …
Persistent link: https://www.econbiz.de/10012245103
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Network VAR models to measure financial contagion
Ahelegbey, Daniel Felix; Giudici, Paolo; Hashem, Shatha … - 2020
Persistent link: https://www.econbiz.de/10012321924
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Modeling turning points in global equity market
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - 2020
Persistent link: https://www.econbiz.de/10012321943
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Fiscal sustainability assessment for Suriname 1978-2017 : a fiscal reaction function approach
Mungroo, Albert; Tjon Kie Sim-Balker, Peggy - 2020
following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …
Persistent link: https://www.econbiz.de/10012298406