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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes …. Heteroscedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary …
Persistent link: https://www.econbiz.de/10011887655
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Cointegrating regressions with time heterogeneity
Kim, Chang Sik; Park, Joon Y. - In: Econometric reviews 29 (2010) 4, pp. 397-438
Persistent link: https://www.econbiz.de/10003978820
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A common-feature approach for testing present-value restrictions with financial data
Hecq, Alain W. J.; Issler, João Victor - 2011
Persistent link: https://www.econbiz.de/10009532945
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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, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010361372
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233991
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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, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010364697
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640
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Wild bootstrap testing for cointegration in an ESTAR error correction model
Maki, Daiki - In: Economic modelling 47 (2015), pp. 280-291
Persistent link: https://www.econbiz.de/10011439126
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Seasonal specific structural time series
Proietti, Tommaso (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2
Persistent link: https://www.econbiz.de/10002652144