Vector Autoregressions

ESEM
Presenter(s) Type Archive date Archive time Length
Sascha Keweloh
Martin Bruns
Nicolas Doremus
Robin Braun
Contributed Sessions
25/08/22
14:00 CEST
90 mins
Presenter(s)
Type
Archive date
25/08/22
Archive time
14:00 CEST
Length
90 mins

Papers

(Listed in order of presenters above)

Block-recursive non-Gaussian structural vector autoregressions: Identification, Efficiency, and Moment Selection

Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Identification of Nonlinear Time Series Models with Additive Noise

Time Varying IV-SVARs and the Effects of Monetary Policy on Financial Variables