Modelling and forecasting government bond spreads in the euro area: a GVAR model
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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
- Linear-quadratic term structure models for negative Euro area yields
- Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
- Affine arbitrage-free yield net models with application to the euro debt crisis
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