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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994

Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty

Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021

Persistent link: https://www.econbiz.de/10012589508

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Regime changes in Bitcoin GARCH volatility dynamics

Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271

Persistent link: https://www.econbiz.de/10012419095

Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models

Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020

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Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? : a comparative analysis with the S&P 500

Chen, Yan; Zhang, Lei; Bouri, Elie - In: Research in international business and finance 69 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015052810

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...

Persistent link: https://www.econbiz.de/10011903210

Testing causality between two vectors in multivariate GARCH models

Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894

Persistent link: https://www.econbiz.de/10011474616

Multivariate stochastic volatility models : Bayesian estimation and model comparison

Yu, Jun; Meyer, Renate - In: Econometric reviews 25 (2006) 2/3, pp. 361-384

Persistent link: https://www.econbiz.de/10003355796

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