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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis

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Volatility impulse response functions for multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - 1998

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Identification of structural multivariate GARCH models

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Volatility forecasting : long memory, regime switching and heteroscedasticity

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Multivariate volatility models

Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017

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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159

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Simulation evidence on theory-based and statistical identification under volatility breaks

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Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

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Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Multivariate volatility analysis of VW stock prices

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