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In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …
Persistent link: https://www.econbiz.de/10011812167
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...
Persistent link: https://www.econbiz.de/10014252427
specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …
Persistent link: https://www.econbiz.de/10014304456