{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1362544418972231680.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.1016/0304-4076(95)01753-4"}},{"identifier":{"@type":"URI","@value":"https://api.elsevier.com/content/article/PII:0304407695017534?httpAccept=text/xml"}},{"identifier":{"@type":"URI","@value":"https://api.elsevier.com/content/article/PII:0304407695017534?httpAccept=text/plain"}},{"identifier":{"@type":"NAID","@value":"30009034181"}}],"dc:title":[{"@value":"Impulse response analysis in nonlinear multivariate models"}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1382544418972231680","@type":"Researcher","foaf:name":[{"@value":"Gary Koop"}]},{"@id":"https://cir.nii.ac.jp/crid/1382544418972231681","@type":"Researcher","foaf:name":[{"@value":"M.Hashem Pesaran"}]},{"@id":"https://cir.nii.ac.jp/crid/1382544418972231682","@type":"Researcher","foaf:name":[{"@value":"Simon M. Potter"}]}],"publication":{"publicationIdentifier":[{"@type":"PISSN","@value":"03044076"}],"prism:publicationName":[{"@value":"Journal of Econometrics"}],"dc:publisher":[{"@value":"Elsevier BV"}],"prism:publicationDate":"1996-09","prism:volume":"74","prism:number":"1","prism:startingPage":"119","prism:endingPage":"147"},"reviewed":"false","dc:rights":["https://www.elsevier.com/tdm/userlicense/1.0/"],"url":[{"@id":"https://api.elsevier.com/content/article/PII:0304407695017534?httpAccept=text/xml"},{"@id":"https://api.elsevier.com/content/article/PII:0304407695017534?httpAccept=text/plain"}],"createdAt":"2003-04-23","modifiedAt":"2019-04-30","relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1050012570393210240","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1050026271563003648","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Tax-and-transfer progressivity and business cycles"},{"@value":"Tax‐and‐transfer progressivity and business cycles"}]},{"@id":"https://cir.nii.ac.jp/crid/1050294045368720768","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains"}]},{"@id":"https://cir.nii.ac.jp/crid/1050294045368791040","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?"}]},{"@id":"https://cir.nii.ac.jp/crid/1050575520346121088","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe"}]},{"@id":"https://cir.nii.ac.jp/crid/1050856995321783040","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1050856995322405760","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe"}]},{"@id":"https://cir.nii.ac.jp/crid/1050865408968086784","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Quantile Connectedness of Uncertainty Indices, Carbon Emissions, Energy, and Green Assets: Insights from Extreme Market Conditions"}]},{"@id":"https://cir.nii.ac.jp/crid/1360004232107348224","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1360005515926827264","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Impacts of conventional and unconventional US monetary policies on global financial markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1360005517148570368","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers"}]},{"@id":"https://cir.nii.ac.jp/crid/1360013168735358592","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"The impact of economic uncertainty caused by COVID-19 on renewable energy stocks"}]},{"@id":"https://cir.nii.ac.jp/crid/1360013168759228160","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Region-wide connectedness of Asian equity and currency markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1360017282220387584","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1360017282230218624","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Volatility Spillover among Japanese Sectors in Response to COVID-19"}]},{"@id":"https://cir.nii.ac.jp/crid/1360017282465834880","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter*"}]},{"@id":"https://cir.nii.ac.jp/crid/1360021389811729920","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments"}]},{"@id":"https://cir.nii.ac.jp/crid/1360021390573024512","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"DIFFERENT MOMENTS CREATE DIFFERENT SPILLOVERS: A STUDY OF COMMODITY MARKETS"}]},{"@id":"https://cir.nii.ac.jp/crid/1360021390573892480","@type":"Article","resourceType":"preprint","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Evaluation of Volatility Spillovers for Asymmetric Realized Covariance"}]},{"@id":"https://cir.nii.ac.jp/crid/1360025429410965248","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Evaluation of volatility spillovers for asymmetric realized covariance"}]},{"@id":"https://cir.nii.ac.jp/crid/1360025430201291136","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Understanding the spillover effects of ethanol production and energy prices on African food markets: A time-varying approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1360294643712287872","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Systemic risk and economic policy uncertainty: International evidence from the crude oil market"}]},{"@id":"https://cir.nii.ac.jp/crid/1360294643770893056","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers"}]},{"@id":"https://cir.nii.ac.jp/crid/1360294643851383936","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan"}]},{"@id":"https://cir.nii.ac.jp/crid/1360302864788744320","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU"}]},{"@id":"https://cir.nii.ac.jp/crid/1360306904393862144","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Nonlinear effects of uncertainty shocks: State dependency and asymmetry"}]},{"@id":"https://cir.nii.ac.jp/crid/1360565165861959552","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"The global financial crisis: An analysis of the spillover effects on African stock markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1360567182240342272","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries"}]},{"@id":"https://cir.nii.ac.jp/crid/1360572092818035456","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Time-frequency connectedness between Asian electricity sectors"}]},{"@id":"https://cir.nii.ac.jp/crid/1360576118689074304","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany"}]},{"@id":"https://cir.nii.ac.jp/crid/1360576118689272960","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1360580229825324544","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy"}]},{"@id":"https://cir.nii.ac.jp/crid/1360580230630315008","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development"}]},{"@id":"https://cir.nii.ac.jp/crid/1360588379363251712","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?"}]},{"@id":"https://cir.nii.ac.jp/crid/1360588380584377088","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Asymmetric Higher-Moment spillovers between sustainable and traditional investments"}]},{"@id":"https://cir.nii.ac.jp/crid/1360846640813880448","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Improved GMM estimation of panel VAR models"}]},{"@id":"https://cir.nii.ac.jp/crid/1360853567539712256","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Spillover effects between energies, gold, and stock: the United States versus China"}]},{"@id":"https://cir.nii.ac.jp/crid/1360853567711667328","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Volatility interdependence on foreign exchange markets: The contribution of cross-rates"}]},{"@id":"https://cir.nii.ac.jp/crid/1360857593665844480","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Is volatility spillover enough for investor decisions? A new viewpoint from higher moments"}]},{"@id":"https://cir.nii.ac.jp/crid/1360857593665901056","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?"}]},{"@id":"https://cir.nii.ac.jp/crid/1360865816801622144","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"On the usefulness of dynamically spilled risk: An optimal portfolio allocation based on cross-sector information contagion"}]},{"@id":"https://cir.nii.ac.jp/crid/1360869856022466048","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers"}]},{"@id":"https://cir.nii.ac.jp/crid/1361131416937853056","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks"}]},{"@id":"https://cir.nii.ac.jp/crid/1361975842101026304","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Time-frequency dynamics of exchange rates in East Asia"}]},{"@id":"https://cir.nii.ac.jp/crid/1520572357592994688","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isCitedBy"],"jpcoar:relatedTitle":[{"@value":"会長就任講演 経済における時系列分析:概観と展望"},{"@language":"ja-Kana","@value":"カイチョウ シュウニン コウエン ケイザイ ニ オケル ジケイレツ ブンセキ ガイカン ト テンボウ"},{"@language":"ja","@value":"経済における時系列分析 : 概観と展望"},{"@language":"en","@value":"Time Series Analysis in Economics : A Brief Survey and Prospect"}]}],"dataSourceIdentifier":[{"@type":"CROSSREF","@value":"10.1016/0304-4076(95)01753-4"},{"@type":"CIA","@value":"30009034181"},{"@type":"CROSSREF","@value":"10.1007/s10368-019-00456-z_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en12203970_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1007/s00181-021-02087-3_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en13081900_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2021.101515_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eneco.2022.106422_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/jrfm15100480_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1111/obes.12547_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.irfa.2023.102735_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1142/s021759082350025x_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.2139/ssrn.4583190_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2024.102177_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eneco.2024.107583_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.econmod.2017.09.023_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.jjie.2018.10.001_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.csda.2015.05.004_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en13030727_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eap.2020.12.001_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.jeconom.2021.06.008_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1111/jmcb.12908_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eneco.2024.107473_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1111/sjpe.12399_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.ememar.2014.09.004_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2019.101067_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eap.2020.12.008_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.irfa.2021.101702_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.qref.2021.08.003_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en13123162_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en14123442_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.eap.2022.08.004_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.resourpol.2023.103483_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2024.102149_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3982/qe1568_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.intfin.2024.102078_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1177/0958305x20907081_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2020.101289_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.jimonfin.2021.102412_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.najef.2020.101220_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en11112893_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1080/23322039.2023.2243200_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.irfa.2024.103359_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.3390/en17225806_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.jmacro.2020.103210_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"},{"@type":"CROSSREF","@value":"10.1016/j.ribaf.2019.101174_references_DOI_IeykhvmjeukHtuJYIG1w7nHTf7E"}]}