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Cross-country evidence on the relation between equity prices and the current account

Berg, Tim Oliver - 2009

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

Persistent link: https://www.econbiz.de/10010384487

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 been used for this purpose. Three main approaches have been used …

Persistent link: https://www.econbiz.de/10010249640

Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - In: VAR models in macroeconomics - new developments and …, (pp. 169-203). 2013

Persistent link: https://www.econbiz.de/10010252334

Quantification of VaR : a note on VaR valuation in the South African equity market

Mabitsela, Lesedi; Maré, E.; Kufakunesu, Rodwell - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 103-126

The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...

Persistent link: https://www.econbiz.de/10011552897

The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets

Shahrazi, Mohammad Mahdi; Elmi, Zahra Mila; Abounoori, … - In: Iranian economic review : journal of University of Tehran 18 (2014) 2, pp. 73-86

Persistent link: https://www.econbiz.de/10011455410

Oil inflows and housing market fluctuations in an oil-exporting country : evidence from Iran

Khiabani, Nasser - In: Journal of housing economics 30 (2015), pp. 59-76

Persistent link: https://www.econbiz.de/10011565825

Common dynamics of nonenergy commodity prices and their relation to uncertainty

Poncela, Pilar; Senra, Eva; Sierra, Lya Paola - In: Applied economics 46 (2014) 28/30, pp. 3724-3735

Persistent link: https://www.econbiz.de/10010419943

Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used … in applications in this context. This study reviews the different volatility models and points out their advantages and …

Persistent link: https://www.econbiz.de/10010501257

Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …

Persistent link: https://www.econbiz.de/10010503909