Browsing by Author "Velinov, Anton"

Now showing items 1-2 of 2

2012-05-22Buch

Do Japanese Stock Prices Reflect Macro Fundamentals?

Chen, Wenjuan; Velinov, Anton

This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification ...
2014-01-20Buch

Structural Vector Autoregressions

Checking Identifying Long-run Restrictions via Heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton

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 ...