Asymmetric Effects of Uncertainty over the Business Cycle: A Quantile Structural Vector Autoregressive Approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-72, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, Open Access Journal, vol. 8(8), pages 1-19, August.
More about this item
KeywordsUncertainty; Economic Cycles; Quantile SVAR; Multivariate Laplace;
- 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
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-08 (All new papers)
- NEP-ECM-2014-02-08 (Econometrics)
- NEP-MAC-2014-02-08 (Macroeconomics)
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