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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

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; Netšunajev, Aleksei - 2014

Persistent link: https://www.econbiz.de/10010364697

A parametric control function approach to estimating the returns to schooling in the absence of exclusion restrictions: An application to the NLSY

Farré, Lídia; Klein, Roger; Vella, Francis - 2010

An innovation which bypasses the need for instruments when estimating endogenous treatment effects is identification via conditional second moments. The most general of these approaches is Klein and Vella (2010) which models the conditional variances semiparametrically. While this is attractive,...

Persistent link: https://www.econbiz.de/10010269795

A holistic approach to the predictive power of expected volatility

Holst, Gherben van der; Zwinkels, Remco C. J. - In: The journal of financial research 38 (2015) 4, pp. 417-459

Persistent link: https://www.econbiz.de/10011440741

Strategic asset allocation and the risk of the stock market in the long run

Rey, David; Zimmermann, Heinz - 2005

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

Persistent link: https://www.econbiz.de/10011417052