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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
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 - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
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
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
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 - 2016
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10011878239
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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …
Persistent link: https://www.econbiz.de/10010229662
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Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2023 - This version: April 21, 20231
to oil price expectations during the last decades which can be attributed to heteroskedasticity. …
Persistent link: https://www.econbiz.de/10014305728
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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
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Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - 2012
autoregression ; heteroskedasticity ; rude oil market …
Persistent link: https://www.econbiz.de/10009579219
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Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Kilian, Lutz; Vigfusson, Robert J. - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 419-453
How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autore- gressive models suggest a substantial decline in real GDP in response to unex- pected increases in the real price of oil, yet no response to...
Persistent link: https://www.econbiz.de/10011756396
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The impact of China's economic growth on crude oil price : evidence from structural VAR
Hamendi, Ahmed; Hook, Law Siong - In: Review of Economic Analysis : REA 15 (2023) 3/4, pp. 237-252
This paper examines the impact of Chinese economic growth on the real price of crude oil based on monthly time series data from 1992:01 to 2017:06 using structural vector auto-regression (SVAR). The variables of the SVAR model are global crude oil production, index of global economic activity,...
Persistent link: https://www.econbiz.de/10014481185