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The housing market and the credit default swap premium in the UK banking sector: A VAR approach

Nadia Benbouzid, Sushanta Mallick, Keith Pılbeam

Research in International Business and Finance · 2017 · 19 citations · 58 references

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References

58

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 6K citations

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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Eric Zivot, Donald W. K. Andrews · Journal of Business and Economic Statistics · 2002 · 5.8K citations

, , +16

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

, , +6

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Eric Zivot, Donald W. K. Andrews · Journal of Business and Economic Statistics · 1992 · 3.1K citations

, , +16

Inference in Linear Time Series Models with some Unit Roots

Christopher A. Sims, James H. Stock, Mark W. Watson · Econometrica · 1990 · 2.6K citations

, , +10