Thomas F P Wiesen
Biographic Data
| ID | 9613467 |
|---|---|
| NAME | Thomas F P Wiesen |
| GIVEN NAMES | Thomas F P |
| FAMILY NAME | Wiesen |
| SIGNATURE | WIESEN T F P |
| AFFILIATIONS | University of Maine |
| ORCID | 0000-0003-4892-4707 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2024 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
A joint impulse response function for vector autoregressive models
Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple variables in the VAR, rather than one at a time as in the generalized IRF. The proposed jIRF controls for the cross-correlations of the several simultaneous shocks. As an application of the jIRF, we st…
No prominent works on this page.
A joint impulse response function for vector autoregressive models
Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple variables in the VAR, rather than one at a time as in the generalized IRF. The proposed jIRF controls for the cross-correlations of the several simultaneous shocks. As an application of the jIRF, we st…
Autoregressive model (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Impulse response (1 work) · Market Dynamics and Volatility (1 work) · Mathematical analysis (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Vector autoregression (1 work)