Aleksei Netsunajev

Free University of Berlin (FUB)

Van't-Hoff-Str. 8

Berlin, Berlin 14195

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

871

SSRN CITATIONS
Rank 35,148

SSRN RANKINGS

Top 35,148

in Total Papers Citations

8

CROSSREF CITATIONS

14

Scholarly Papers (6)

1.

Crimea and Punishment: The Impact of Sanctions on Russian and European Economies

DIW Berlin Discussion Paper No. 1569
Number of pages: 18 Posted: 25 Apr 2016
Konstantin A. Kholodilin and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 482 (68,633)
Citation 4

Abstract:

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Political conflict, sanctions, economic growth, Russia, euro area, structural vector autoregression

2.

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

DIW Berlin Discussion Paper No. 1388
Number of pages: 28 Posted: 19 Jun 2014
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 142 (237,355)
Citation 11

Abstract:

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Structural vector autoregressions, heteroskedasticity, smooth transition VAR models, identification via heteroskedasticity

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

DIW Berlin Discussion Paper No. 1464
Number of pages: 35 Posted: 08 Apr 2015
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 73 (375,615)
Citation 1

Abstract:

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Structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH

Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models

CESifo Working Paper Series No. 5308
Number of pages: 34 Posted: 07 May 2015
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 54 (439,721)

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structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH

4.

Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs

DIW Berlin Discussion Paper No. 1195
Number of pages: 29 Posted: 15 Mar 2012
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 61 (408,164)
Citation 2

Abstract:

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Markov switching model, vector autoregression, heteroskedasticity, crude oil market

5.

The Relation between Monetary Policy and the Stock Market in Europe

DIW Berlin Discussion Paper No. 1729
Number of pages: 18 Posted: 18 Apr 2018
Helmut L├╝tkepohl and Aleksei Netsunajev
Free University of Berlin (FUB) and Free University of Berlin (FUB)
Downloads 42 (480,348)
Citation 1

Abstract:

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Cointegrated vector autoregression, heteroskedasticity, Markov-switching model, monetary policy analysis

6.

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

DIW Berlin Discussion Paper No. 1764
Number of pages: 28 Posted: 21 Oct 2018
Free University of Berlin (FUB), University of Helsinki - Department of Political and Economic Studies, Free University of Berlin (FUB) and University of Helsinki - Department of Statistics
Downloads 17 (620,643)
Citation 8

Abstract:

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Heteroskedasticity, structural identification, vector autoregressive process