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Reaction to technology shocks in Markov-switching structural VARs : identification via heteroskedasticity
Netsunajev, Aleksei - In: Journal of macroeconomics 36 (2013), pp. 51-62
Persistent link: https://www.econbiz.de/10009751143
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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 - 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 - 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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On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models
Velinov, Anton - In: Quantitative finance and economics 2 (2018) 1, pp. 106-126
Persistent link: https://www.econbiz.de/10012137899
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Classical and modern business cycle measurement : the European case
Krolzig, Hans-Martin; Toro, Juan - In: Spanish economic review : SER 7 (2005) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10002684456
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Asymmetric effects of monetary policy on an emerging stock market
Han, Guowen; Wu, Yongjin; Young, Warren - In: International journal of monetary economics and finance 7 (2014) 3, pp. 192-206
Persistent link: https://www.econbiz.de/10011311411