Impulse response analysis in nonlinear multivariate models

DOI10.1016/0304-4076(95)01753-4zbMATH Open0865.62086OpenAlexW1969610664WikidataQ130493926 ScholiaQ130493926MaRDI QIDQ1126497FDOQ1126497

Gary Koop, Simon Potter, M. Hashem Pesaran

Publication date: 14 July 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01753-4

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zbMATH Keywords

linear modelsmultivariate modelsnonlinear modelspersistencethreshold autoregressive modelsunemployment rateunified approachimpulse response analysisasymmetric effects of shocksgeneralized impulse response functionmeasures of shock persistencenonlinear vector autoregressionsUS output

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
• Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms
• Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
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• The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
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• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach
• Impact of Economic Policy Uncertainty on Thailand Macroeconomic Variables
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• Asymmetries and Markov-switching structural VAR
• The effects of oil price shocks on job reallocation

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