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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model … with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the …
Persistent link: https://www.econbiz.de/10010244526
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Optimal hedging with the cointegrated vector autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010413752
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Optimal Hedging with the Cointegrated Vector Autoregressive Model
Gatarek, Lukasz T. - 2014
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model … (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the …
Persistent link: https://www.econbiz.de/10013045676
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011517008
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Causal transmission in reduced-form models
Bazinas, Vassilios; Nielsen, Bent - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25
We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...
Persistent link: https://www.econbiz.de/10013355236
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Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
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Taking a DSGE model to the data meaningfully
Jusélius, Katarina (contributor);  … - 2007
All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....
Persistent link: https://www.econbiz.de/10003471380
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010
Persistent link: https://www.econbiz.de/10003974036
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-273
Persistent link: https://www.econbiz.de/10008839956
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571199