Structural Volatility Impulse Response Function and Asymptotic Inference
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Cited by:
- Fengler, Matthias & Polivka, Jeannine, 2022.
"Structural Volatility Impulse Response Analysis,"
Economics Working Paper Series
2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
- Liu, Xiaochun, 2021. "On fiscal and monetary policy-induced macroeconomic volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
- Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2024. "Are exchange rates absorbers of global oil shocks? A generalized structural analysis," Journal of International Money and Finance, Elsevier, vol. 146(C).
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More about this item
Keywords
causality-in-volatility; commodity and stock market volatilities; contemporaneous effects; correlation structural break; structural dynamic conditional comovement;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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