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Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

Persistent link: https://www.econbiz.de/10009663846

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10013441647

Testing for causality in variance using multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - In: Annales d'économie et de statistique 89 (2008), pp. 215-241

Persistent link: https://www.econbiz.de/10003875586

A Lagrange multiplier test for causality in variance

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 93 (2006) 1, pp. 137-141

Persistent link: https://www.econbiz.de/10003380170

Volatility impulse responses for multivariate GARCH models : an exchange rate illustration

Hafner, Christian M.; Herwartz, Helmut - In: Journal of international money and finance 25 (2006) 5, pp. 719-740

Persistent link: https://www.econbiz.de/10003404968

Dynamic score-driven independent component analysis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 298-308

Persistent link: https://www.econbiz.de/10014448140

Asymmetric volatility impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 222 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014232851

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018

Persistent link: https://www.econbiz.de/10011993276

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001568288

Volatility impulse response functions for multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001640371