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Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...
Persistent link: https://www.econbiz.de/10013072501
An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...
Persistent link: https://www.econbiz.de/10012726093
Persistent link: https://www.econbiz.de/10012898063
Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under...
Persistent link: https://www.econbiz.de/10012869707
Generalized autoregressive conditional heteroscedasticity (GARCH)-type models have been successively used to capture the conditional volatility of macroeconomic and financial time series in the past two decades. However, few diagnostic tests are specifically devised to check the adequacy of...
Persistent link: https://www.econbiz.de/10013051320
The purpose of this paper is to present an approach with regard to the dynamic process of the general equilibrium during the business cycle fluctuations following monetary and fiscal interventions, which, I think, could contribute to bridging the differences between the different schools of...
Persistent link: https://www.econbiz.de/10013053400
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank f Johansen (1996) can be unreliable in small samples with...
Persistent link: https://www.econbiz.de/10013147987
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...
Persistent link: https://www.econbiz.de/10014198029
It is well established that the shocks driving many key macroeconomic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions...
Persistent link: https://www.econbiz.de/10014151390