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Identifying structural vector autoregressions via changes in volatility
Lütkepohl, Helmut - 2012
identification. The present study focusses on the latter device. Some possible setups for identification via heteroskedasticity are …
Persistent link: https://www.econbiz.de/10010290964
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …
Persistent link: https://www.econbiz.de/10010349257
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Luetkepohl, Helmut; Velinov, Anton - CESifo - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010877668
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Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10011266593
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Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes
Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …
Persistent link: https://www.econbiz.de/10010729194
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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/10010331123
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010734525
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Identifying Structural Vector Autoregressions via Changes in Volatility
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
identification. The present study focusses on the latter device. Some possible setups for identification via heteroskedasticity are …
Persistent link: https://www.econbiz.de/10011128872
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Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - 2012
autoregression ; heteroskedasticity ; rude oil market …
Persistent link: https://www.econbiz.de/10009579219
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Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Kilian, Lutz; Vigfusson, Robert J. - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 419-453
How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autore- gressive models suggest a substantial decline in real GDP in response to unex- pected increases in the real price of oil, yet no response to...
Persistent link: https://www.econbiz.de/10011756396