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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

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

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

The exchange rate volatility in the Central and Eastern European Countries

Dumitrescu, Bogdan; Roşca, Silvia Maria - In: Theoretical and applied economics : GAER review 22 (2015) 2, pp. 189-198

Persistent link: https://www.econbiz.de/10011561529

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

Factor stochastic volatility in mean models : a GMM approach

Doz, Catherine; Renault, Eric - In: Econometric reviews 25 (2006) 2/3, pp. 275-309

Persistent link: https://www.econbiz.de/10003355766

Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161