Nonlinear impulse response functions

DOI10.1016/S0165-1889(99)00013-5zbMATH Open0968.91030OpenAlexW3121263884MaRDI QIDQ1575615FDOQ1575615

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

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zbMATH Keywords

impulse response functiongeneralized impulse response functionmeasures of persistence

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Impulse response analysis in nonlinear multivariate models
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• Nonlinear Dynamic Structures
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• Parameter uncertainty and impulse response analysis

Cited In (24)

• Short-memory and the PPP hypothesis
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Impulse response functions for periodic integration
• Computing time-consistent equilibria: a perturbation approach
• Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis
• Impulse response analysis in nonlinear multivariate models
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• The impulse analysis of the T-S fuzzy singular system via Kronecker index
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• Solving DSGE models with a nonlinear moving average
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Speed of adjustment in cointegrated systems
• Absorption of shocks in nonlinear autoregressive models
• A floor and ceiling model of US output
• MACROECONOMIC SHOCKS AND THE FOREIGN EXCHANGE RISK PREMIA
• Deterministic impulse response in a nonlinear model. An analytical expression
• Bayesian flexible local projections
• Impulse response analysis for structural dynamic models with nonlinear regressors
• Some restrictions of the non-causal impulse response functions
• State-dependent local projections
• Nonlinear Dynamic Structures
• RESPONSE FUNCTIONS TO CRITICAL SHOCKS IN SOCIAL SCIENCES: AN EMPIRICAL AND NUMERICAL STUDY
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Title not available (Why is that?)

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