Identification of structural vector autoregressions by stochastic volatility
Year of publication: |
2022
|
---|---|
Authors: | Bertsche, Dominik ; Braun, Robin |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 1, p. 328-341
|
Subject: | Stochastic volatility | External instruments | Identification via heteroscedasticity | Structural vector autoregression | Theorie | Theory | VAR-Modell | VAR model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
-
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik, (2020)
-
The time-varying effects of permanent and transistory shocks to real output
Keating, John William, (2015)
-
Oil price volatility and the US stock market
Rahman, Sajjadur, (2021)
- More ...
-
Identification of Structural Vector Autoregressions by Stochastic Volatility
Bertsche, Dominik, (2018)
-
Identification of Structural Vector Autoregressions by Stochastic Volatility
Bertsche, Dominik, (2020)
-
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik, (2020)
- More ...