3 citations · 3 across the 4 of their papers we have counts for
4 papers
A Millennium of UK Business Cycles: Insights from Structural VAR Analysis
Leonardo N. Ferreira, Haroon Mumtaz, Gabor Pinter
We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271--2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks a…
Stochastic Volatility-in-mean VARs with Time-Varying Skewness
Leonardo N. Ferreira, Haroon Mumtaz, Ana Skoblar
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows bo…
Time-varying ecological interactions characterise equilibrium and stability
Annalisa Caligiuri, Emile Emery, Leonardo Ferreira +8
Ecological communities are composed of species interactions that respond to environmental fluctuations. Despite increasing evidence of temporal variation in these interactions, mos…
Random matrix ensemble for the covariance matrix of Ornstein-Uhlenbeck processes with heterogeneous temperatures
Leonardo Ferreira, Fernando Metz, Paolo Barucca
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained b…