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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2016

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been...

Persistent link: https://www.econbiz.de/10011878239

Modelling volatility of the exchange rate of the Naira to major currencies

David, Reuben O.; Dikko, Hussaini G.; Gulumbe, Shehu U. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-29

,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models …

Persistent link: https://www.econbiz.de/10011661515

Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542

Persistent link: https://www.econbiz.de/10011893733

Naira-Dollar exchange rate volatility modeling using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)

Olarewaju, Odunayo Magret; Olasehinde, Timilehin John - In: EuroEconomica 36 (2017) 2, pp. 106-116

Persistent link: https://www.econbiz.de/10011798639

Information flow interpretation of heteroskedasticity for capital asset pricing : an expectation-based view of risk

Senarathne, Chamil W.; Jayasinghe, Prabhath - In: Economic issues 22 (2017), pp. 1-24

Persistent link: https://www.econbiz.de/10011771053

R-estimation in semiparametric dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247

Persistent link: https://www.econbiz.de/10011818285

Essays on structural vector autoregressions identified through time-varying volatility

Schlaak, Thore - 2019

Persistent link: https://www.econbiz.de/10012173758

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014534818

Microfoundations of Heteroscedasticity in Asset Prices : A Loss-Aversion-Based Explanation of Asymmetric GARCH Models

Ormos, Mihály - 2016

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing … assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we … analytically derive the unit-root versions of two of the best fitting heteroscedasticity models (EGARCH and TGARCH). The model is …

Persistent link: https://www.econbiz.de/10012998364