Central Bank Research Hub - JEL classification C32: Multiple or Simultaneous Equation Models: Time-Series Models

Title Author(s)

Uncovered Interest Parity in Central and Eastern Europe: Expectations and Structural Breaks

Bank of Estonia Working papers [View] (Paper: 04/2015, 22.07.2015)

JEL: C32, F15

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-050, 11.07.2015)

JEL: C32, C51, C58

Modelling Dependence in High Dimensions with Factor Copulas

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-051, 11.07.2015)

JEL: C31, C32, C51

Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing through Trade and Commodity Price Channels.

Bank of France Working Papers [View] (Paper: 562, 01.07.2015)

JEL: C32, E17, E32, F44, F47, Q2

A new identification of fiscal shocks based on the information flow

European Central Bank Working papers [View] (Paper: 1813, 18.06.2015)

JEL: C32, E32, E62

VAR for VaR: measuring tail dependence using multivariate regression quantiles

European Central Bank Working papers [View] (Paper: 1814, 18.06.2015)

JEL: C13, C14, C32

Credit market disequilibrium in Greece (2003-2011) - A Bayesian Approach

European Central Bank Working papers [View] (Paper: 1805, 12.06.2015)

JEL: C32, D50, E42, E44, G21, G28, P00

What has driven inflation dynamics in the Euro area, the United Kingdom and the United States

European Central Bank Working papers [View] (Paper: 1802, 10.06.2015)

JEL: C22, C32, E31, E52

Forecasting with VAR models: fat tails and stochastic volatility

Bank of England Working papers [View] (Paper: wp528, 29.05.2015)

JEL: C11, C32, C52

Granger causality and regime inference in Bayesian Markov-Switching VARs

European Central Bank Working papers [View] (Paper: 1794, 22.05.2015)

JEL: C11, C12, C32, C53, E32

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