Quantile Impulse Response Functions分位数脉冲响应函数.pdf 29页内容提供方:独角戏 大小:167.16 KB 字数:约3.74万字 发布时间:2018-09-07发布于福建 浏览人气:132 下载次数:仅上传者可见 收藏次数:0 需要金币:*** 金币 (10金币=人民币1元)...
This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the local projections bydoi:10.2139/ssrn.3466198Han, HeejoonJung, WhayoungLee, Ji HyungSocial Science Electronic Publishing...
Fig. 2. Impulse-response functions of the BRICS market induced by a specific shock in the US market index during the first sample period. The black and red solid lines represent the responses at the 0.99 and 0.01 quantiles, respectively. The dotted lines represent their corresponding confidence ...
Fig. 5. Impulse response functions.Author’s estimations. Table 10. Variance decomposition analysis. Variance decomposition of CE Period S.E. CEit ECGit RENEit INQit TINOit POPit 1 0.040616 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.062279 96.98086 0.322151 1.086501 0.244703 0.791572 0....
(15). The initial sample period is used to obtain the first out-of-sample forecasts for 1 day and 22 days ahead. We consider a rolling-window approach for each subsequent forecast, with a fixed length of 726 days. Two well-known evaluation functions, i.e., the mean squared predicted ...
This study examined extreme return spillovers and connectedness between crude oil (West Texas Intermediate), the Volatility Uncertainty Index (VIX), S&P 500, and six Latin American stock markets, namely, Argentina, Brazil, Chile, Colombia, Mexico, an
Multivariate quantilesmultivariate time﹕eriesvector autoregressionimpulse response functionsA reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used forSocial Science Electronic Publishing...
Identification strategies and structural quantile impulse response functions are derived as generalization of the VAR model. The model is estimated using real and financial variables for the euro area. The dynamic properties of the system change across quantiles. This is relevant for stress testing ...
None of these features can be observed in the conventional impulse response analysis exclusively based on the conditional mean function. In addition to proposing the QIRF, our second contribution is to present a new way to jointly estimate a system of multiple quantile functions. Our proposed ...
Quantile Impulse ResponseGrowth-at-RiskMonetary PolicyFinancial ShocksThis paper studies the dynamic responses of the conditional quantiles and their applications in macroeconomics and finance. We build a multi-equation autoregresJung, WhayoungLee, Ji Hyung...