Relevant bibliographies by topics / Volatility impulse response functions

Academic literature on the topic 'Volatility impulse response functions'

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Published: 10 December 2022
Last updated: 28 January 2023

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Journal articles on the topic "Volatility impulse response functions"

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Jin, Xiaoye, Sharon Xiaowen Lin, and Michael Tamvakis. "Volatility transmission and volatility impulse response functions in crude oil markets." Energy Economics 34, no. 6 (November 2012): 2125–34. http://dx.doi.org/10.1016/j.eneco.2012.03.003.

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Le Pen, Yannick, and Benoît Sévi. "Volatility transmission and volatility impulse response functions in European electricity forward markets." Energy Economics 32, no. 4 (July 2010): 758–70. http://dx.doi.org/10.1016/j.eneco.2009.12.003.

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Jin, Xiaoye. "Volatility transmission and volatility impulse response functions among the Greater China stock markets." Journal of Asian Economics 39 (August 2015): 43–58. http://dx.doi.org/10.1016/j.asieco.2015.05.004.

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Panopoulou, Ekaterini, and Theologos Pantelidis. "Integration at a cost: evidence from volatility impulse response functions." Applied Financial Economics 19, no. 11 (June 2009): 917–33. http://dx.doi.org/10.1080/09603100802112300.

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Hassan, Fatin Aminah. "Dynamic Shocks of Crude Oil Price and Exchange Rate on Food Prices in Emerging Countries of Southeast Asia: A Panel Vector Autoregression Model." Asian Journal of Economic Modelling 10, no. 2 (June 15, 2022): 108–23. http://dx.doi.org/10.55493/5009.v10i2.4517.

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This paper empirically analyzes food price responses to shocks from crude oil price and exchange rate volatility in five emerging Southeast Asian nations between 2000 and 2020 using impulse response functions and variance decomposition analysis of the dynamic panel Vector Autoregression approach. Based on the findings of the impulse response functions analysis, food prices respond positively to both oil price and exchange rate shocks. Meanwhile, the results of variance decomposition analysis show that food prices account for a significant portion of volatility in its own shock. The contribution of oil price shock to food price volatility is found to be greater than the contribution of exchange rate shock. Hence, the study recommends that policymakers in these nations should be vigilant about the impacts of oil price and exchange rate shocks on food prices since these factors may undermine price stability and exacerbate food security.
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Olson, Eric, Andrew J. Vivian, and Mark E. Wohar. "The relationship between energy and equity markets: Evidence from volatility impulse response functions." Energy Economics 43 (May 2014): 297–305. http://dx.doi.org/10.1016/j.eneco.2014.01.009.

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Rahman, Sajjadur, and Apostolos Serletis. "THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS." Macroeconomic Dynamics 15, S3 (November 2011): 437–71. http://dx.doi.org/10.1017/s1365100511000204.

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In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.
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Djedović, Edin, and Irfan Djedović. "IMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA." Journal Human Research in Rehabilitation 9, no. 1 (April 2019): 73–81. http://dx.doi.org/10.21554/hrr.041909.

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This study analyzes the impact of conventional index (SASX-30) on Islamic index (SASE-BBI) in Bosnia and Herzegovina. In the study are used daily index observations spanning in a period from October 2016 until May 2018. The data is obtained from the Sarajevo Stock Exchange database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant negative impact of conventional index volatility (SASX-30) on Islamic index volatility (SASX-BBI) in Bosnia and Herzegovina.
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Okoli, Tochukwu Timothy, Devi Datt Tewari, and Ajibola Rhodaoluwafisayomi. "The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach." Journal of Economics and Behavioral Studies 9, no. 6(J) (January 15, 2018): 237–51. http://dx.doi.org/10.22610/jebs.v9i6(j).2020.

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Nigeria as an oil exporting mono-economy is susceptible to fluctuations in the world oil prices. About 97 percent of the government’s revenues are gotten from proceeds from oil export. The study attempts to assess the behaviors of macroeconomic variables in the face of oil price volatility in Nigeria. The empirical evidences reveal that macroeconomic variables were susceptibility to volatility in Oil Price. The theoretical framework is based on the Mundel-Flaming model and adopts the variance decomposition and impulse response functions to explain the dynamic properties of the VAR methodology. The impulse response results reveal that a one standard deviation in oil price will trigger a significant change in RGDP, GEXP, INFLATION and IMPORT both in the short and long run, and IR and EXR significantly only in the short run. Finally, the variance decomposition of RGDP, GEXP and EXR reveals that the variability in them were significantly explained by oil price volatility and other tests ran reveals a consistent result. Therefore, volatility in oil price has direct impact on real GDP, Government expenditure, inflation, interest rate, exchange rate and import. The researchers therefore recommend diversification of the economy to other sectors, financial prudence, sound fiscal policy and the lowering of interest rate to stimulate domestic investment.
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Okoli, Tochukwu Timothy, Devi Datt Tewari, and Ajibola Rhodaoluwafisayomi. "The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach." Journal of Economics and Behavioral Studies 9, no. 6 (January 15, 2018): 237. http://dx.doi.org/10.22610/jebs.v9i6.2020.

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Nigeria as an oil exporting mono-economy is susceptible to fluctuations in the world oil prices. About 97 percent of the government’s revenues are gotten from proceeds from oil export. The study attempts to assess the behaviors of macroeconomic variables in the face of oil price volatility in Nigeria. The empirical evidences reveal that macroeconomic variables were susceptibility to volatility in Oil Price. The theoretical framework is based on the Mundel-Flaming model and adopts the variance decomposition and impulse response functions to explain the dynamic properties of the VAR methodology. The impulse response results reveal that a one standard deviation in oil price will trigger a significant change in RGDP, GEXP, INFLATION and IMPORT both in the short and long run, and IR and EXR significantly only in the short run. Finally, the variance decomposition of RGDP, GEXP and EXR reveals that the variability in them were significantly explained by oil price volatility and other tests ran reveals a consistent result. Therefore, volatility in oil price has direct impact on real GDP, Government expenditure, inflation, interest rate, exchange rate and import. The researchers therefore recommend diversification of the economy to other sectors, financial prudence, sound fiscal policy and the lowering of interest rate to stimulate domestic investment.
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Dissertations / Theses on the topic "Volatility impulse response functions"

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Barros, Francisco JuscÃlio de. "The volatility of the exchange rate affects the Cearà exports?" Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11473.

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The aim of this work is understand how the Exchange rate volatility affects the cearensesâs exports. Many researchers have appointed that an increase in the exchange rate volatility generate risk factors on trade. Therefore, understand the relationship between volatility and trade is fundamental to forecast better the behavior of trade under instabilities of the exchange markets, as the recent international crisis. The period of analysis is from 2002 to 2011 and the data has monthly frequency. Two methodologies are used to investigate this relationship: short run, through impulse response function, obtained from a VEC; long run, through the Johansen cointegration test. The results showed that the exchange volatility reduces the exports of CearÃ.
O objetivo deste trabalho à entender como a volatilidade da taxa de cÃmbio afeta as exportaÃÃes cearenses. Diversos autores tÃm apontado que uma volatilidade da taxa de cÃmbio mais elevada pode estar associada a fatores de risco de exportaÃÃo e importaÃÃo. Dessa forma, entender o relacionamento entre esses componentes à fundamental para aumentar o poder de previsibilidade, especialmente, em perÃodos de instabilidade econÃmica, em que a volatilidade da taxa de cÃmbio tende a ser maior. Nesse trabalho, utilizou-se de dados com frequÃncia mensal entre 2002 a 2012. Duas anÃlises foram feitas: uma de curto prazo, atravÃs da abordagem de funÃÃes impulso resposta obtidas a partir de um VEC e outra de longo prazo atravÃs do teste de cointegraÃÃo de Johansen (1991). Dos resultados encontrados, verificou-se que a volatilidade da taxa de cÃmbio tem efeito sobre as exportaÃÃes cearenses tanto no curto quanto no longo prazo. Ambos, longo e curto prazo, a volatilidade da taxa de cambio reduz o quantum exportado, indicando que tal volatilidade pode ser interpretada como risco associado as exportaÃÃes.
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Bisová, Sára. "Modely vývoje inflace a její volatility v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73484.

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This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with the VAR models, Granger causality, impulse response functions, cointegration and error correction models are described. The empirical part includes application of selected models on real time series of chosen macroeconomic indicators. The estimation outputs are interpreted and forecasts are implemented. The quality of chosen econometric models for modelling inflation in Czech Republic is discussed.
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DELLA, NOCE MATTEO. "Un modello VAR-GARCH multivariato per il mercato elettrico italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1108.

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E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettrica possono essere adeguatamente previsti impiegando i prezzi passati di ciascun mercato zonale. La volatilità e la cross-volatility sono significative per tutti i mercati, indicando la presenza di forti componenti ARCH e GARCH e la sostanziale inefficienza dei mercati. E’ inoltre evidente un’elevata persistenza della volatilità e della cross-volatility in tutti i mercati. I risultati indicano inoltre che gli shock rilevati, sia nella volatilità, sia nei vari mercati, persistono nel tempo e che in ogni mercato la persistenza è più marcata quando è causata da innovazioni stimate sulle stesso mercato rispetto a shock stimati su altre aree. Questa persistenza descrive la tendenza delle variazioni dei prezzi a raggrupparsi nel tempo.
It is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.
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Bishop, Carlton Delos. "Finite impulse response filter design using cosine series functions." Doctoral diss., University of Central Florida, 1988. http://digital.library.ucf.edu/cdm/ref/collection/RTD/id/43377.

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University of Central Florida College of Engineering Thesis
Window functions have been extensively used for the design of SAW filters. The classical truncated cosine series functions, such as the Hamming and Blackmann functions, are only a few of an infinite set of such functions. The derivation of this set of functions from orthonormal basis sets and the criteria for obtaining the constant coefficients of the functions are presented. These functions are very useful because of the closed-form expressions and their easily recognizable Fourier transform. Another approach to the design of Gaussian shaped filters having a desired sidelobe level using a 40 term cosine series will be presented as well. This approach is again non-iterative and a near equi-ripple sidelobe level filter could be achieved. A deconvolution technique will also be presented. this has the advantage of being non-iterative, simple and fast. This design method produces results comparable to the Dolph-Chebyshev technique.
Ph.D.
Doctorate
Electrical Engineering and Communication
Engineering
Electrical Engineering
41 p.
vii, 41 leaves, bound : ill. ; 28 cm.
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Schulte, Walter B. "The frequency response, impulse response, and transfer function of an ocean waveguide /." Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2004. http://library.nps.navy.mil/uhtbin/hyperion/04Jun%5FSchulte.pdf.

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Thesis (M.S. in Applied Science (Signal Processing))--Naval Postgraduate School, June 2004.
Thesis advisor(s): Lawrence J. Ziomek. Includes bibliographical references (p. 47). Also available online.
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Schulte, Walter B. III. "The frequency response, impulse response, and transfer function of an ocean waveguide." Thesis, Monterey, California. Naval Postgraduate School, 2004. http://hdl.handle.net/10945/1516.

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Approved for public release, distribution is unlimited
In this thesis, the ocean was modeled as a waveguide with an ideal pressure - release surface, and an ideal rigid bottom. The ocean waveguide was then treated as a linear, time - invariant, space - variant (TISV) filter or communication channel. The filter is time - invariant because no motion was modeled and because the properties of the ocean were assumed to be constant. The filter is space - variant because of the presence of the two boundaries, that is, the ocean surface and ocean bottom. This thesis investigates the ocean as a linear TISV filter by evaluating 1) the complex frequency response, 2) the impulse response, and 3) the transfer function of the ocean with respect to depth. It is shown that the TISV impulse response of the ocean contains information that can be used to help localize a target in range and whether the target is above or below the receiver. Computer simulation results were obtained by evaluating the three filter functions for several different test cases.
Ensign, United States Navy
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Mitchell, James. "Identification and estimation of impulse response functions in VAR models : analysing monetary shocks in the G7 economies." Thesis, University of Cambridge, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.621674.

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Antonakakis, Nikolaos, and Harald Badinger. "Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries." Elsevier, 2016. http://dx.doi.org/10.1016/j.econmod.2015.08.035.

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This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2-2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial crisis; and iii) the US has been the largest transmitter of growth and volatility shocks. Generalized impulse response analyses suggest moderate growth spillovers and sizable volatility spillovers across countries. Cross-variable effects indicate that volatility shocks lead to lower growth, while growth shocks reduce output volatility.
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Eksi, Ozan. "Lower Volatility, Higher Inequality: Are They Related?" Doctoral thesis, Universitat Pompeu Fabra, 2010. http://hdl.handle.net/10803/7420.

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This thesis is divided into three chapters. In the first chapter, I identify and explore the fundamental relationship between income inequality and GDP volatility. I give theoretical insight of this relationship alongside empirical evidence from a sample of industrialized countries. In the second chapter, in regression estimates relating inequality to the variables of interest, I suggest that rather than aggregate inequality, the average growth rate of within-cohort inequality data should be used. In the light of my findings I then try to explore the effect of international trade on inequality in the US and UK. In the last chapter, I carry out a Monte Carlo study. This compares efficiencies of impulse response matching and GMM estimators at identifying reduced form coefficients and structural parameters on a DSGE model.
Esta tesis está dividida por tres capítulos. En el primer capítulo, llevo al interés que hay una relación fundamental entre la desigualdad de ingresos y la volatilidad de PBI. Doy pruebas teóricas para esta relación, así como empíricas de una muestra de países industrializados. En el segundo capítulo, sugiero que mejor que la desigualdad agregada, la tasa de crecimiento media de dentro de desigualdades de cohorte debería estar usada en las estimaciones de regresión que relaciona la desigualdad con las variables del interés. Entonces trato de explorar el efecto del comercio internacional en la desigualdad en los EE.UU y en el Reino Unido a la luz de mis conclusiones. En el último capítulo, realizo un estudio de Monte Carlo para comparar la eficiencia de la Correspondencia de respuesta de Impulso y peritos GMM en la identificación de los coeficientes de forma reducidos y parámetros estructurales en un modelo de DSGE.
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Jonéus, Paulina. "The more the merrier? On the performance of factor-augmented models." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256760.

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Vector autoregression (VAR) models are widely used in an attempt to identify and measure the effect of monetary policy shocks on an economy and to forecast economic times series. However, the sparse information sets used in the VAR approach have been subject to criticism and in recent decades, the use of factor models as a means of dimension reduction has been a subject of greater focus. The method of summarizing information contained in a large set of macroeconomic time series by principal components, and use these as regressors in VAR models, has been pointed out as a potential solution to the problems of limited information and estimation of too many parameters. This paper combines the standard VAR methodology with dynamic factor analysis on Swedish data for two purposes, to assess the effects of monetary policy shocks and to examine the forecasting properties. Latent factors estimated by the principal components method are in this study found to contribute to a more coherent picture in line with economic theory, when examining monetary policy shocks to the Swedish economy. The factor-augmented models can on the other hand not be shown to increase the forecasting accuracy to a great extent compared to standard models.
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Books on the topic "Volatility impulse response functions"

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Potter, Simon M. Nonlinear impulse response functions. [New York, N.Y.]: Federal Reserve Bank of New York, 1999.

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Katzman, Brett. Optimal monetary impulse-response functions in a matching model. Cambridge, MA: National Bureau of Economic Research, 1999.

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Katzman, Brett. Optimal monetary impulse-response functions in a matching model. [Minneapolis, Minn.]: Federal Reserve Bank of Minneapolis, 1999.

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Vlaar, P. J. G. On the asymptotic distribution of impulse response functions with long run restrictions. Amsterdam: De Nederlandsche Bank, 1998.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions. Morgan & Claypool Publishers, 2013.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions of Music Performance Halls. Morgan & Claypool Publishers, 2013.

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Frey, Douglas, Rangaraj Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions of Music Performance Halls. Springer International Publishing AG, 2013.

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Acoustical Impulse Response Functions Of Music Performance Halls. Morgan & Claypool, 2013.

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Saborowski, Christian, and Sebastian Weber. Assessing the Determinants of Interest Rate Transmission Through Conditional Impulse Response Functions. International Monetary Fund, 2013.

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Saborowski, Christian, and Sebastian Weber. Assessing the Determinants of Interest Rate Transmission Through Conditional Impulse Response Functions. International Monetary Fund, 2013.

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Book chapters on the topic "Volatility impulse response functions"

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van der Seijs, M. V., P. L. C. van der Valk, T. van der Horst, and D. J. Rixen. "Towards Dynamic Substructuring Using Measured Impulse Response Functions." In Dynamics of Coupled Structures, Volume 1, 73–82. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-04501-6_6.

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Formenti, David L., David Ottman, and Mark H. Richardson. "Using Impulse Response Functions to Evaluate Baseball Bats." In Structural Dynamics, Volume 3, 1461–66. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9834-7_129.

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Rixen, Daniel J. "Substructuring using Impulse Response Functions for Impact Analysis." In Structural Dynamics, Volume 3, 637–46. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9834-7_56.

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Polasek, Wolfgang, and Ren Lei. "Generalized Impulse Response Functions for VAR-GARCH-M Models." In Data Analysis, 299–311. Berlin, Heidelberg: Springer Berlin Heidelberg, 2000. http://dx.doi.org/10.1007/978-3-642-58250-9_24.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Evaluation of Results." In Acoustical Impulse Response Functions of Music Performance Halls, 69–81. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_6.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Introduction." In Acoustical Impulse Response Functions of Music Performance Halls, 1–3. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_1.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Convolution and Filtering." In Acoustical Impulse Response Functions of Music Performance Halls, 37–55. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_4.

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Frey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "A Review of Acoustic Measurement Techniques." In Acoustical Impulse Response Functions of Music Performance Halls, 5–15. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_2.

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Liu, J. M., Weidong D. Zhu, Q. H. Lu, and G. X. Ren. "An Efficient Iterative Algorithm for Accurately Calculating Impulse Response Functions." In Topics in Modal Analysis I, Volume 5, 113–25. New York, NY: Springer New York, 2012. http://dx.doi.org/10.1007/978-1-4614-2425-3_12.

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Xu, Hecong, Xiaolei Xu, Zhen Wu, Haifeng Guo, Yuxi Zhang, and Hongzhi Wang. "A Study on Bitcoin Price Volatility Based on the SVAR Model and Impulse Response Analysis." In Communications in Computer and Information Science, 214–25. Singapore: Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-7993-3_17.

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Conference papers on the topic "Volatility impulse response functions"

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Allen, David, Michael McAleer, Robert Powell, and Abhay Singh. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events." In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/icefs-17.2017.9.

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Xu, Y. F., and W. D. Zhu. "Efficient and Accurate Calculation of Discrete Frequency Response Functions and Impulse Response Functions." In ASME 2015 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/detc2015-47779.

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Modal properties of a structure can be identified by experimental modal analysis (EMA). Discrete frequency response functions (FRFs) and impulse response functions (IRFs) between responses and excitation are bases for EMA. In calculation of a discrete FRF, discrete Fourier transform (DFT) is applied to both response and excitation data series, and a transformed data series in DFT is virtually extended to have an infinite length and be periodic with a period equal to the length of the series; the resulting periodicity can be physically incorrect in some cases, which depends on an excitation technique used. There are various excitation techniques in EMA, and periodic extension in DFT for EMA using periodic random and burst random excitation is physically correct. However, EMA using periodic random excitation needs a relatively long excitation time to have responses to be steady-state and periodic, and EMA using burst random excitation needs a long sampling period for responses to decay to zero, which can result in relatively long response and excitation data series and necessitate a large number of spectral lines for associated DFTs, especially for a high sampling frequency. An efficient and accurate methodology for calculating discrete FRFs and IRFs is proposed here, by which fewer spectral lines are needed and accuracies of resulting FRFs and IRFs can be maintained. The relationship between an IRF from the proposed methodology and that from the least-squares method is shown. A new coherence function that can evaluate qualities of FRFs and IRFs from the proposed methodology in the frequency domain is used, from which meaningful coherence function values can be obtained even with response and excitation series of one sampling period. Based on the new coherence function, a fitting index is used to evaluate overall qualities of the FRFs and IRFs. The proposed methodology was numerically and experimentally applied to a two-degree-of-freedom mass-spring-damper system and an aluminum plate to estimate their FRFs, respectively. In the numerical example, FRFs from the proposed methodology agree well with the theoretical one; in the experimental example, a FRF from the proposed methodology with a random impact series agreed well with the benchmark one from a single impact test.
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de Moraes, Francisco José Vicente, and Hans Ingo Weber. "Deconvolution by Wavelets for Extracting Impulse Response Functions." In ASME 1997 Design Engineering Technical Conferences. American Society of Mechanical Engineers, 1997. http://dx.doi.org/10.1115/detc97/vib-4136.

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Abstract The extraction of Impulse Response Functions (Markov parameters) is a major feature on dynamic systems identification. The convolution integral is a most important input-output relationship for linear systems. Existing methods for calculating the IRFs from the convolution integral are carried out in time or frequency domains. The orthonormal wavelet transform consists on decomposing a given signal on mutually orthogonal local basis functions. It is possible to make use of the orthogonal properties of wavelets for calculating the convolution integral. The wavelet domain preserves the temporal nature of data and, simultaneously, different frequency bands are isolated by the multiresolution analysis, without loosing the orthogonality of the wavelet terms. Algorithm matrices are well conditioned and the method is not very sensitive to output noise. Simulated and experimental analysis are performed and results presented.
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Meyer-Kahlen, Nils, and Sebastian J. Schlecht. "Blind Directional Room Impulse Response Parameterization from Relative Transfer Functions." In 2022 International Workshop on Acoustic Signal Enhancement (IWAENC). IEEE, 2022. http://dx.doi.org/10.1109/iwaenc53105.2022.9914706.

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"A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC." In 21st International Congress on Modelling and Simulation (MODSIM2015). Modelling and Simulation Society of Australia and New Zealand, 2015. http://dx.doi.org/10.36334/modsim.2015.e4.allen.

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Dahl, Tobias, Bjorn Syversrud, and Sverre Holm. "Source Enhancement and Suppression with Binaural Head Related Impulse Response Functions." In Proceedings of the 7th Nordic Signal Processing Symposium - NORSIG 2006. IEEE, 2006. http://dx.doi.org/10.1109/norsig.2006.275290.

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ribeiro, sidney, Gabriela Oliveira, and Gilmar Guimaraes. "ANALITYCAL IMPULSE RESPONSE IDENTIFICATION FOR A MOVING HEAT SOURCE PROBLEM USING GREEN’S FUNCTIONS." In 25th International Congress of Mechanical Engineering. ABCM, 2019. http://dx.doi.org/10.26678/abcm.cobem2019.cob2019-1388.

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Tuma, Martin, and Pavel Jura. "Impulse response approximation of dead time LTI SISO systems using generalized Laguerre functions." In CENTRAL EUROPEAN SYMPOSIUM ON THERMOPHYSICS 2019 (CEST). AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5114317.

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Robertson, A. N., K. C. Park, and K. F. Alvin. "Identification of Structural Dynamics Models Using Wavelet-Generated Impulse Response Data." In ASME 1995 Design Engineering Technical Conferences collocated with the ASME 1995 15th International Computers in Engineering Conference and the ASME 1995 9th Annual Engineering Database Symposium. American Society of Mechanical Engineers, 1995. http://dx.doi.org/10.1115/detc1995-0380.

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Abstract This paper addresses the use of discrete wavelet tranforms for the identification of structural dynamics models. First, the discrete temporal impulse response functions are obtained from vibration records by the discrete wavelet transforms (DWTs), which are then utilized for system realizations. From the realized state space models, structural modes, mode shapes and damping parameters are extracted. Attention has been focused on a careful comparison of the present DWT system identification approach to the FFT-based approach and a rational criterion for truncating realized singular values. Numerical examples demonstrate that the present DWT-based structural system identification procedure outperforms the FFT-based procedure.
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Robertson, A. N., K. C. Park, and K. F. Alvin. "Extraction of Impulse Response Data via Wavelet Transform for Structural System Identification." In ASME 1995 Design Engineering Technical Conferences collocated with the ASME 1995 15th International Computers in Engineering Conference and the ASME 1995 9th Annual Engineering Database Symposium. American Society of Mechanical Engineers, 1995. http://dx.doi.org/10.1115/detc1995-0379.

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Abstract This paper presents a wavelet transform-based method of extracting the impulse response characteristics from the measured disturbances and response histories of linear structural dynamic systems. The proposed method appears to have alleviated some of the most pronounced deleterious aspects of both the time-domain methods that suffer from the matrix ill-conditioning of the input signals and FFT-based methods that must cope with erraneous auto and cross-correlation functions, unless the input signals are rich enough in frequency content The method is found to be effective in capturing very low frequency response components and also far insensitive to output noises than existing methods. The present method has been applied to a variety of problems, which show significant improvements over existing impulse response function extraction methods, especially for limited harmonic excitations and input/output data contaminated with noises.
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Reports on the topic "Volatility impulse response functions"

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Katzman, Brett, John Kennan, and Neil Wallace. Optimal Monetary Impulse-Response Functions in a Matching Model. Cambridge, MA: National Bureau of Economic Research, November 1999. http://dx.doi.org/10.3386/w7425.

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Rahmani, Mehran, and Manan Naik. Structural Identification and Damage Detection in Bridges using Wave Method and Uniform Shear Beam Models: A Feasibility Study. Mineta Transportation Institute, February 2021. http://dx.doi.org/10.31979/mti.2021.1934.

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This report presents a wave method to be used for the structural identification and damage detection of structural components in bridges, e.g., bridge piers. This method has proven to be promising when applied to real structures and large amplitude responses in buildings (e.g., mid-rise and high-rise buildings). This study is the first application of the method to damaged bridge structures. The bridge identification was performed using wave propagation in a simple uniform shear beam model. The method identifies a wave velocity for the structure by fitting an equivalent uniform shear beam model to the impulse response functions of the recorded earthquake response. The structural damage is detected by measuring changes in the identified velocities from one damaging event to another. The method uses the acceleration response recorded in the structure to detect damage. In this study, the acceleration response from a shake-table four-span bridge tested to failure was used. Pairs of sensors were identified to represent a specific wave passage in the bridge. Wave velocities were identified for several sensor pairs and various shaking intensities are reported; further, actual observed damage in the bridge was compared with the detected reductions in the identified velocities. The results show that the identified shear wave velocities presented a decreasing trend as the shaking intensity was increased, and the average percentage reduction in the velocities was consistent with the overall observed damage in the bridge. However, there was no clear correlation between a specific wave passage and the observed reduction in the velocities. This indicates that the uniform shear beam model was too simple to localize the damage in the bridge. Instead, it provides a proxy for the overall extent of change in the response due to damage.
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Rahmani, Mehran, Xintong Ji, and Sovann Reach Kiet. Damage Detection and Damage Localization in Bridges with Low-Density Instrumentations Using the Wave-Method: Application to a Shake-Table Tested Bridge. Mineta Transportation Institute, September 2022. http://dx.doi.org/10.31979/mti.2022.2033.

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This study presents a major development to the wave method, a methodology used for structural identification and monitoring. The research team tested the method for use in structural damage detection and damage localization in bridges, the latter being a challenging task. The main goal was to assess capability of the improved method by applying it to a shake-table-tested prototype bridge with sparse instrumentation. The bridge was a 4-span reinforced concrete structure comprising two columns at each bent (6 columns total) and a flat slab. It was tested to failure using seven biaxial excitations at its base. Availability of a robust and verified method, which can work with sparse recording stations, can be valuable for detecting damage in bridges soon after an earthquake. The proposed method in this study includes estimating the shear (cS) and the longitudinal (cL) wave velocities by fitting an equivalent uniform Timoshenko beam model in impulse response functions of the recorded acceleration response. The identification algorithm is enhanced by adding the model’s damping ratio to the unknown parameters, as well as performing the identification for a range of initial values to avoid early convergence to a local minimum. Finally, the research team detect damage in the bridge columns by monitoring trends in the identified shear wave velocities from one damaging event to another. A comprehensive comparison between the reductions in shear wave velocities and the actual observed damages in the bridge columns is presented. The results revealed that the reduction of cS is generally consistent with the observed distribution and severity of damage during each biaxial motion. At bents 1 and 3, cS is consistently reduced with the progression of damage. The trends correctly detected the onset of damage at bent 1 during biaxial 3, and damage in bent 3 during biaxial 4. The most significant reduction was caused by the last two biaxial motions in bents 1 and 3, also consistent with the surveyed damage. In bent 2 (middle bent), the reduction trend in cS was relatively minor, correctly showing minor damage at this bent. Based on these findings, the team concluded that the enhanced wave method presented in this study was capable of detecting damage in the bridge and identifying the location of the most severe damage. The proposed methodology is a fast and inexpensive tool for real-time or near real-time damage detection and localization in similar bridges, especially those with sparsely deployed accelerometers.
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Financial Stability Report - Second Semester of 2020. Banco de la República de Colombia, March 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2020.

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The Colombian financial system has not suffered major structural disruptions during these months of deep economic contraction and has continued to carry out its basic functions as usual, thus facilitating the economy's response to extreme conditions. This is the result of the soundness of financial institutions at the beginning of the crisis, which was reflected in high liquidity and capital adequacy indicators as well as in the timely response of various authorities. Banco de la República lowered its policy interest rates 250 points to 1.75%, the lowest level since the creation of the new independent bank in 1991, and provided ample temporary and permanent liquidity in both pesos and foreign currency. The Office of the Financial Superintendent of Colombia, in turn, adopted prudential measures to facilitate changes in the conditions for loans in effect and temporary rules for rating and loan-loss provisions. Finally, the national government expanded the transfers as well as the guaranteed credit programs for the economy. The supply of real credit (i.e. discounting inflation) in the economy is 4% higher today than it was 12 months ago with especially marked growth in the housing (5.6%) and commercial (4.7%) loan portfolios (2.3% in consumer and -0.1% in microloans), but there have been significant changes over time. During the first few months of the quarantine, firms increased their demands for liquidity sharply while consumers reduced theirs. Since then, the growth of credit to firms has tended to slow down, while consumer and housing credit has grown. The financial system has responded satisfactorily to the changes in the respective demands of each group or sector and loans may grow at high rates in 2021 if GDP grows at rates close to 4.6% as the technical staff at the Bank expects; but the forecasts are highly uncertain. After the strict quarantine implemented by authorities in Colombia, the turmoil seen in March and early April, which was evident in the sudden reddening of macroeconomic variables on the risk heatmap in Graph A,[1] and the drop in crude oil and coal prices (note the high volatility registered in market risk for the region on Graph A) the local financial markets stabilized relatively quickly. Banco de la República’s credible and sustained policy response played a decisive role in this stabilization in terms of liquidity provision through a sharp expansion of repo operations (and changes in amounts, terms, counterparties, and eligible instruments), the purchases of public and private debt, and the reduction in bank reserve requirements. In this respect, there is now abundant aggregate liquidity and significant improvements in the liquidity position of investment funds. In this context, the main vulnerability factor for financial stability in the short term is still the high degree of uncertainty surrounding loan quality. First, the future trajectory of the number of people infected and deceased by the virus and the possible need for additional health measures is uncertain. For that reason, there is also uncertainty about the path for economic recovery in the short and medium term. Second, the degree to which the current shock will be reflected in loan quality once the risk materializes in banks’ financial statements is uncertain. For the time being, the credit risk heatmap (Graph B) indicates that non-performing and risky loans have not shown major deterioration, but past experience indicates that periods of sharp economic slowdown eventually tend to coincide with rises in non-performing loans: the calculations included in this report suggest that the impact of the recession on credit quality could be significant in the short term. This is particularly worrying since the profitability of credit establishments has been declining in recent months, and this could affect their ability to provide credit to the real sector of the economy. In order to adopt a forward-looking approach to this vulnerability, this Report presents several stress tests that evaluate the resilience of the liquidity and capital adequacy of credit institutions and investment funds in the event of a hypothetical scenario that seeks to simulate an extreme version of current macroeconomic conditions. The results suggest that even though there could be strong impacts on the credit institutions’ volume of credit and profitability under such scenarios, aggregate indicators of total and core capital adequacy will probably remain at levels that are above the regulatory limits over the horizon of a year. At the same time, the exercises highlight the high capacity of the system's liquidity to face adverse scenarios. In compliance with its constitutional objectives and in coordination with the financial system's security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions that are necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth operation of the payment systems. Juan José Echavarría Governor
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