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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes

Velinov, Anton - 2013

Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...

Persistent link: https://www.econbiz.de/10010229662

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …

Persistent link: https://www.econbiz.de/10010349257

Nonlinear intermediary pricing in the oil futures market

Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …

Persistent link: https://www.econbiz.de/10011790776

Zukunftsgestaltung ohne Wirtschaftswachstum? : Ergebnisse eines Workshops des DIW im Auftrag von Greenpeace Deutschland

Blazejczak, Jürgen (ed.) - Workshop Zukunftsgestaltung ohne Wirtschaftswachstum? …; … - 1998

Deutschland durchgeführt hat. Ziel des Workshops war es, zur Klärung der Konsequenzen eines - aufgrund ökologischer Grenzen für … of Greenpeace Germany. The workshop aimed at contributing to a better understanding of the consequences of reduced …

Persistent link: https://www.econbiz.de/10011432355