Platz der Gottinger Sieben 3
Gottingen, D-37073
Germany
University of Goettingen (Göttingen)
BEKK Model, Multivariate GARCH, Leverage Effect, Value-At-Risk, Impulse Response Functions, R
Structural Vector Autoregression, External Instruments, Proxy SVAR, Heteroskedasticity, Monetary Policy Shocks
Copula, multivariate GARCH models, Markov switching, safe-haven, gold, stock market
Copula, MGARCH, Markov Switching, Forecasting, VaR, Expected Shortfall
stock market bubbles, out-of-sample forecasting, consensus forecasts, macroeconomic uncertainty, OECD countries
independent components, heteroskedasticity, model selection, non-Gaussianity, structural shocks
monetary policy shocks, asset prices, sign restrictions, zero restrictions, set identi cation, structural VAR models
copula distributions, expected shortfall, GARCH, model selection, non-Gaussian innovations, risk forecasting, value-at-risk
global credit supply, credit composition, financial cycle, dynamic factor model
inflation uncertainty, SVAR, monetary policy, sign restrictions, asset prices, smoothtransition
Credit shocks, credit composition, real economy, structural VAR, FAVAR
Panel unit root tests, nonstationary volatility, cross-sectional dependence, near epoch dependence, energy use per capita
structural innovations, identifying assumptions, SVAR, Cholesky decomposition, news shocks, monetary independence
Finance-growth nexus, fi nancial development, economic growth, functional coe ffient model
