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Partial identification of heteroskedastic structural VARs : theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a … particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions … prior ensures that the evidence for identifying a structural shock comes only from the data and is not favoured by the prior …

Persistent link: https://www.econbiz.de/10014528602

Evolution of the exchange rate pass-through into prices in Peru : an empirical application using TVP-VAR-SV models

Rodriguez, Gabriel; Castillo B., Paul; Calero, Roberto; … - In: Journal of international money and finance 142 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10014549830

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015

Persistent link: https://www.econbiz.de/10011312174

The relation between the corporate bond-yield spread and the real economy : stable or time-varying?

Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012503617

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143

Persistent link: https://www.econbiz.de/10011746951

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

The impact of oil shocks on exchange rates : a Markov-switching approach

Basher, Syed Abul; Haug, Alfred Albert; Sadorsky, Perry A. - In: Energy economics 54 (2016), pp. 11-23

Persistent link: https://www.econbiz.de/10011662720

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10011302131

Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling

Boussaha, Nadia; Hamdi, Faycal; Souam, Saïd - 2018

Persistent link: https://www.econbiz.de/10012240489

The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

Persistent link: https://www.econbiz.de/10009733810