1.
Supplement to "Estimating Large-Dimensional Connectedness Tables: The Great Moderation through the Lens of Sectoral Spillovers"
Brunner, Felix ; Hipp, Ruben ;
Supplemental material for peer-reviewed article published in Quantitative Economics. When citing this dataset, please also cite the associated article. A sample Publicati[...]
2023 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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2.
Estimating Large-Dimensional Connectedness Tables: The Great Moderation through the Lens of Sectoral Spillovers
Brunner, Felix ; Hipp, Ruben
We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is cha[...]
2023 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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