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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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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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Identification of Structural Vector Autoregressions by Stochastic Volatility
Bertsche, Dominik - 2020
the importance of oil supply shocks for driving oil prices. Since shocks identified by heteroskedasticity may not be …
Persistent link: https://www.econbiz.de/10012831147
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Refining the workhorse oil market model
Zhou, Xiaoqing - 2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010361372