Modelling and forecasting government bond spreads in the euro area: a GVAR model
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Publication:2453091
DOI10.1016/J.JECONOM.2013.04.004zbMATH Open1288.91196OpenAlexW2017702771MaRDI QIDQ2453091FDOQ2453091
Authors: Carlo A. Favero 
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.04.004
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Cites Work
Cited In (12)
- Expectations and systemic risk in EMU government bond spreads
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Forecasting mortality with international linkages: a global vector-autoregression approach
- On the use of area-wide models in the euro-zone
- Debt dynamics in Europe: a network general equilibrium GVAR approach
- Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
- Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery
- Reduced form vector directional quantiles
- Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
- Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
- Linear-quadratic term structure models for negative Euro area yields
- Affine arbitrage-free yield net models with application to the euro debt crisis
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