Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Helmut Lütkepohl, Thore Schlaak
| Year of publication: |
2019
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|---|---|
| Authors: | Lütkepohl, Helmut ; Schlaak, Thore |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 101.2019, p. 41-61
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| Subject: | Conditional heteroskedasticity | GARCH | Identification via heteroskedasticity | Structural vector autoregression | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Schock | Shock | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.01.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012131020