Structural volatility impulse response analysis
Matthias R. Fengler and Jeannine Polivka
| Year of publication: |
[2022]
|
|---|---|
| Authors: | Fengler, Matthias ; Polivka, Jeannine |
| Publisher: |
St. Gallen : School of Economics and Political Science, Department of Economics, University of St.Gallen |
| Subject: | causality in volatility | multivariate GARCH models | multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models | proxy identification | structural identification | volatility impulse response functions | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | VAR-Modell | VAR model | Multivariate Analyse | Multivariate analysis |
freely available