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Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2009
Persistent link: https://www.econbiz.de/10003880159
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Construction and interpretation of model-free implied volatility
Andersen, Torben; Bondarenko, Oleg - 2007
Persistent link: https://www.econbiz.de/10003556632
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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010233991
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010249640
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2016
) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10011878239
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10011400913
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …
Persistent link: https://www.econbiz.de/10009616780
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …
Persistent link: https://www.econbiz.de/10009583433