Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Year of publication: |
2015
|
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Authors: | Lütkepohl, Helmut ; Netšunajev, Aleksei |
Publisher: |
Berlin : SFB 649, Economic Risk |
Subject: | Structural vector autoregression | identification via heteroskedasticity | conditional heteroskedasticity | smooth transition | Markov switching | GARCH | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Volatilität | Volatility | Heteroskedastizität | Heteroscedasticity | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schock | Shock |
Extent: | Online-Ressource (32 S.) graph. Darst. |
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Series: | SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2015-015 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/119426 [Handle] |
Classification: | C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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