SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Testing identification via heteroskedasticity in structural vector autoregressive models
16 references·3 citing·38 second hop
Testing identification via heteroskedasticity in structural vector autoregressive models (2020)Testing identification via heteroskedasti…Robust Inference in Models Identified via Heteroskedasticity (2018)Robust Inference in Models Id…Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis (2018)Choosing Between Different Ti…Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity (2018)Bayesian Inference for Struct…Structural Vector Autoregressive Analysis (2017)Structural Vector Autoregress…Testing for identification in SVAR-GARCH models (2016)Testing for identification in…Structural vector autoregressions with heteroskedasticity: A review of different volatility models (2016)Structural vector autoregress…Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks (2014)Structural vector autoregress…Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity (2013)Reaction to technology shocks…DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012)DISENTANGLING DEMAND AND SUPP…Structural vector autoregressions with Markov switching (2009)Structural vector autoregress…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Identifying Monetary Policy Shocks via Changes in Volatility (2008)Identifying Monetary Policy S…Structural Vector Autoregressive Modeling and Impulse Responses (2004)Structural Vector Autoregress…Measuring The Reaction of Monetary Policy to the Stock Market (2003)Measuring The Reaction of Mon…Identification Through Heteroskedasticity (2003)Identification Through Hetero…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects (2023)Announcement-Specific Decompo…Identifying Shocks via Time-Varying Volatility (2021)Identifying Shocks via Time-V…Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships? (2021)Data‐driven identification in…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Macroeconomics and Reality (1980)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Inference in VARs with conditional heteroskedasticity of unknown form (2015)Volatility spillover shifts in global financial markets (2018)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)The federal funds rate and the channels of monetary transmission (1989)Measuring Monetary Policy (1998)Were There Regime Switches in U.S. Monetary Policy? (2006)The role of the log transformation in forecasting economic variables (2010)Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan (2012)Structural vector autoregressions (2013)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Identification and estimation of non-Gaussian structural vector autoregressions (2016)Feedbacks: Financial Markets and Economic Activity (2021)Risk, uncertainty and monetary policy (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Quarterly Journal of Economics (2024)Oil price shocks and agricultural commodity prices (2014)Economic Impacts of Carbon Tax in a General Equilibrium Framework: Empirical Study of Japan (2021)Renewable energy, climate policy uncertainty, industrial production, domestic exports/re-exports, and CO2 emissions in the USA: A SVAR approach (2023)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)How does the U.S. natural gas market react to demand and supply shocks in the crude oil market? (2017)The Effect of Oil Supply Shocks on U.S. Economic Activity: What Have We Learned? (2018)The macroeconomic effects of oil price uncertainty (2023)Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015)Local Projection Inference Is Simpler and More Robust Than You Think (2021)Local Projections and VARs Estimate the Same Impulse Responses (2021)
this work references cited by second hop

References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 2017Structural Vector Autoregressive Analysis1,057 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • 2009Structural vector autoregressions with Markov switching224 cited
  • 2004Structural Vector Autoregressive Modeling and Impulse Responses178 cited
  • 2008Identifying Monetary Policy Shocks via Changes in Volatility164 cited
  • 2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks121 cited
  • 2012DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS119 cited
  • 2016Structural vector autoregressions with heteroskedasticity: A review of different volatility models54 cited
  • 2016Testing for identification in SVAR-GARCH models38 cited
  • 2018Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis33 cited
  • 2013Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity31 cited

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

  • 2018Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity28 cited
  • 2018Robust Inference in Models Identified via Heteroskedasticity24 cited
  • Cited by

    • 2021Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?14 cited
    • 2021Identifying Shocks via Time-Varying Volatility14 cited
    • 2023Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects10 cited