GARCH type models, with one disturbance to the return of a financial asset, have not been considered as a framework for measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous correlation can be quantified within an EGARCH...

A factor structure for VAR model error terms is adopted to examine the dynamic relationships of major macroeconomic time series. The structure, which is testable, is used to trace the consequences of a contemporaneously “ceteris paribus” (or idiosyncratic) change in each variable in the VAR...

In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local identification of a structural model is that at most one structural shock is homoskedastic. Our approach is based on a result of Rothenberg (1971)