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Alternatives to Large VAR, Varma and Multivariate Stochastic Volatility Models · Study

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PreprintAlternatives to Large VAR, Varma and Multivariate Stochastic Volatility Models

Mike G. Tsionas2022

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Preprintgreen2022

Alternatives to Large VAR, Varma and Multivariate Stochastic Volatility Models

Mike G. Tsionas

16 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Markov Chains and Monte Carlo Methods

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References

1980Macroeconomics and Reality 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy 2009Bayesian Multivariate Time Series Methods for Empirical Macroeconomics 2001Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy 2013Short-term inflation projections: A Bayesian vector autoregressive approach n.d.Business Cycles, Indicators, and Forecasting 2017Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis 2015The effectiveness of the ECB's asset purchase programs of 2009 to 2012

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Details

Year2022

Typepreprint

Published2022-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.4186918

openalex_workW2592196188

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