Zobrazeno 1 - 5
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pro vyhledávání: '"DROUMAGUET, MATTHIEU"'
Publikováno v:
Journal of Applied Econometrics, 2017 Jun 01. 32(4), 802-818.
Externí odkaz:
https://www.jstor.org/stable/26609763
We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::676dd9e9ffb5b7e8b48eb0f5ecc855fa
https://hdl.handle.net/10419/154227
https://hdl.handle.net/10419/154227
Autor:
DROUMAGUET, Matthieu
Defence date: 18 December 2012 Examining Board: Professor Massimiliano Marcellino, European University Institute (Supervisor); Professor Ana Beatriz Galvão, Queen Mary University of London; Professor Hans-Martin Krolzig, University of Kent; Professo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______151::506541356ced7a0d491f8baefb918b78
https://hdl.handle.net/1814/25135
https://hdl.handle.net/1814/25135
Autor:
DROUMAGUET, Matthieu, WOŹNIAK, Tomasz
Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables but also impact on the volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______151::f8ee998f92ca1299de8cb1fd1b3dbe36
https://hdl.handle.net/1814/20815
https://hdl.handle.net/1814/20815