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  1. Last Moments
    Autor*in: Child, Preston
    Erschienen: 2018
    Verlag:  BookRix, München

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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783743866492
    Weitere Identifier:
    Weitere Schlagworte: (Produktform)Electronic book text; (VLB-WN)9110; psychic; suicide; life; social; problems; kids; love; moments; decisions; horror; evil; hell; (VLB-WN)9299
    Umfang: Online-Ressource, 60 Seiten
    Bemerkung(en):

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  2. Moments, shocks and spillovers in Markov switching VAR models
    Autor*in: Dijk, Dick van; Kole, Erik
    Erschienen: [2021]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 432
    Fernleihe:
    keine Fernleihe

     

    To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this paper, we develop a comprehensive framework with methods to conduct these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural innovations and the variables themselves. By formulating the MSVAR as an extended linear non-Gaussian VAR for the combination of the regime process and the level and squares of the observable variables, all results are in closed-form, which eases a detailed investigation. We illustrate our methods with an application to stock and bond return predictability. Our results show how regime switching combined with predictor variables influences means, volatilities and (auto-)correlations. The impulse response functions show that the effect of shocks becomes highly nonlinear, and that they propagate via different channels. During bear markets, shocks have stronger effects on means and volatilities and die out more slowly.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/248764
    Schriftenreihe: Array ; TI 2021, 080
    Schlagworte: Markov-switching VAR; moments; impulse response analysis; bull and bear markets
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  3. Non-independent components analysis
    Autor*in: Mesters, Geert; Zwiernik, Piotr
    Erschienen: August 2022
    Verlag:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 574
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics working paper series ; no. 1845
    Schlagworte: Independent components analysis; cumulants; moments; tensors; identification
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  4. Non-independent components analysis
    Autor*in: Mesters, Geert; Zwiernik, Piotr
    Erschienen: [2022]
    Verlag:  BSE, Barcelona School of Economics, [Barcelona]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 541
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: BSE working paper ; 1358 (August 2022)
    Schlagworte: Independent components analysis; cumulants; moments; tensors; identification
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen