Nonlinear impulse response functions

DOI10.1016/S0165-1889(99)00013-5MaRDI QIDQ1575615zbMATH OpenOpenAlexFDO

Authors N. Delaunay

Publication date 21 August 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(99)00013-5

zbMATH Keywords

generalized impulse response functionimpulse response functionmeasures of persistence

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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• Impulse response analysis in nonlinear multivariate models
• Nonlinear Dynamic Structures
• Parameter uncertainty and impulse response analysis

Cited in

(31)

• Absorption of shocks in nonlinear autoregressive models
• Impulse response analysis in nonlinear multivariate models
• Impulse response functions for periodic integration
• A floor and ceiling model of US output
• Mixed order response function estimation from multi-input nonlinear systems
• Parameter uncertainty and impulse response analysis
• Deterministic impulse response in a nonlinear model. An analytical expression
• Solving DSGE models with a nonlinear moving average
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Computing time-consistent equilibria: a perturbation approach
• Impulse response analysis for structural dynamic models with nonlinear regressors
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• Nonlinear Dynamic Structures
• MACROECONOMIC SHOCKS AND THE FOREIGN EXCHANGE RISK PREMIA
• Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis
• scientific article; zbMATH DE number 3926034 (Why is no real title available?)
• Nonlinear transfer functions
• scientific article; zbMATH DE number 1051726 (Why is no real title available?)
• RESPONSE FUNCTIONS TO CRITICAL SHOCKS IN SOCIAL SCIENCES: AN EMPIRICAL AND NUMERICAL STUDY
• Some restrictions of the non-causal impulse response functions
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• The impulse analysis of the T-S fuzzy singular system via Kronecker index
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Bayesian flexible local projections
• State-dependent local projections
• The effects of monetary policy on macroeconomic downside risk: state-dependence matters
• Recurrent double-conditional factor model
• Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
• Speed of adjustment in cointegrated systems
• Short-memory and the PPP hypothesis

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