SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Vector Autoregressive Models for Multivariate Time Series
15 references·2 citing·33 second hop
Vector Autoregressive Models for Multivariate Time Series (2003)Vector Autoregressive Models for Multivar…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Vector Autoregressions and Reality (2002)Vector Autoregressions and Re…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Vector Autoregressions (2001)Vector AutoregressionsBayesian Methods for Dynamic Multivariate Models (1998)Bayesian Methods for Dynamic …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Vector autoregressions and cointegration (1993)Vector autoregressions and co…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Vector Autoregressions and Reality (1987)Vector Autoregressions and Re…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Macroeconomics and Reality (1980)Macroeconomics and RealityInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The influence of terrorism in tourism arrivals: A longitudinal approach in a Mediterranean country (2019)The influence of terrorism in…DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)DeepLOB: Deep Convolutional N…Are Forecasting Models Usable for Policy Analysis? (1986)Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Introductory Econometrics for Finance (2008)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2013)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Oil and the Macroeconomy since World War II (1983)Testing for Granger non-causality in heterogeneous panels (2012)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 2001Vector Autoregressions1,168 cited
  • 1998Bayesian Methods for Dynamic Multivariate Models1,011 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 2002Vector Autoregressions and Reality413 cited
  • 1993Vector autoregressions and cointegration285 cited
  • 1987Vector Autoregressions and Reality242 cited

Cited by

  • 2019DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

288 cited
  • 2019The influence of terrorism in tourism arrivals: A longitudinal approach in a Mediterranean country184 cited