Causal inference with (partially) independent shocks and structural signals on the global crude oil market
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More about this item
Keywords
Structural VAR ; structural MGARCH ; Independent component analysis;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-06-26 (Econometrics)
- NEP-ENE-2023-06-26 (Energy Economics)
- NEP-ETS-2023-06-26 (Econometric Time Series)
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