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Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.; Herwartz, Helmut - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated … GARCH (or BEKK), and construct a Wald test on noncausality in variance. We compare both approaches to testing causality in …
Persistent link: https://www.econbiz.de/10010296228
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Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.; Herwartz, Helmut - Institut für Volkswirtschaftslehre, … - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated … GARCH (or BEKK), and construct a Wald test on noncausality in variance. We compare both approaches to testing causality in …
Persistent link: https://www.econbiz.de/10005082920
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Long-run links among money, prices, and output : world-wide evidence
Herwartz, Helmut; Reimers, Hans-Eggert - 2001
-specific models for 110 economies, and also a pooled system thereof. We test for cointegration among money, prices, and real output …-star variables are constructed and the cointegration property between prices and the P-star variable is analysed. Along these lines …
Persistent link: https://www.econbiz.de/10011419407
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Bootstrap inference in single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - 2000
assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …
Persistent link: https://www.econbiz.de/10009612036
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Testing the purchasing power parity in pooled systems of error correction models
Herwartz, Helmut; Reimers, Hans-Eggert - 2000
not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …
Persistent link: https://www.econbiz.de/10009612044
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Long-Run Links Among Money, Prices, and Output : World-Wide Evidence
Herwartz, Helmut - 2016
Persistent link: https://www.econbiz.de/10012991296
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002
procedures do not deliver any evidence in favor of short run causality between the two series. …
Persistent link: https://www.econbiz.de/10010956345
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 2002
procedures do not deliver any evidence in favor of short run causality between the two series. …
Persistent link: https://www.econbiz.de/10010310809
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
Persistent link: https://www.econbiz.de/10011903666
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
Persistent link: https://www.econbiz.de/10011903210