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Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models
Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10011212800
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10008855329
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Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates
Lütkepohl, Helmut; Milunovich, George - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …
Persistent link: https://www.econbiz.de/10011184636
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Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …
Persistent link: https://www.econbiz.de/10010632797