A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets
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References listed on IDEAS
- Daniel F. Waggoner & Tao Zha, 1999.
"Conditional Forecasts In Dynamic Multivariate Models,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 639-651, November.
- Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," FRB Atlanta Working Paper 98-22, Federal Reserve Bank of Atlanta.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
More about this item
Keywordsmultivariate financial time series; vector auto-regressive (VAR) model; impulse response analysis; Granger causality;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
- NEP-ARA-2011-05-07 (MENA - Middle East & North Africa)
- NEP-FOR-2011-05-07 (Forecasting)
- NEP-MIC-2011-05-07 (Microeconomics)
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