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2015-03-23Buch DOI: 10.18452/4572
Structural Vector Autoregressions with Heteroskedasticity
dc.contributor.authorLütkepohl, Helmut
dc.contributor.authorNetšunajev, Aleksei
dc.date.accessioned2017-06-16T01:13:09Z
dc.date.available2017-06-16T01:13:09Z
dc.date.created2015-06-18
dc.date.issued2015-03-23
dc.date.submitted2015-03-23
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5224
dc.description.abstractA 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 drawbacks. It thereby enables researchers wishing to use identification of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a specific empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectGARCHeng
dc.subjectStructural vector autoregressioneng
dc.subjectconditional heteroskedasticityeng
dc.subjectidentification via heteroskedasticityeng
dc.subjectsmooth transitioneng
dc.subjectMarkov switchingeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleStructural Vector Autoregressions with Heteroskedasticity
dc.typebook
dc.subtitleA Comparison of Different Volatility Models
dc.identifier.urnurn:nbn:de:kobv:11-100230849
dc.identifier.doihttp://dx.doi.org/10.18452/4572
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages35
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue15
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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