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Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks

Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of Econometrics 183 (2014) 1, pp. 104-116

In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is...

Persistent link: https://www.econbiz.de/10011077586

Hodges-Lehmann detection of structural shocks : an analysis of macroeconomic dynamics in the Euro Area

Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 4, pp. 736-754

Persistent link: https://www.econbiz.de/10011969509

Stock return prediction under GARCH : an empirical assessment

Herwartz, Helmut - In: International journal of forecasting 33 (2017) 3, pp. 569-580

Persistent link: https://www.econbiz.de/10011746190

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Lütkepohl, Helmut - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509991

Structural transmissions among investor attention, stock market volatility and trading volumes

Herwartz, Helmut; Xu, Fang - In: European Financial Management 28 (2021) 1, pp. 260-279

Persistent link: https://www.econbiz.de/10012634895

Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets

Herwartz, Helmut; Saucedo, Alberto - In: Agricultural Economics 51 (2020) 3, pp. 387-402

Persistent link: https://www.econbiz.de/10012190577

Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?

Herwartz, Helmut; Lange, Alexander; Maxand, Simone - In: Economic Inquiry 60 (2021) 2, pp. 668-693

Persistent link: https://www.econbiz.de/10013203356

Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt / Different Volatility Regimes on the German Bond Market

Herwartz, Helmut; Reimers, Hans-Eggert - In: Jahrbücher für Nationalökonomie und Statistik 219 (1999) 3-4, pp. 375-392

Zusammenfassung Die Analyse von täglichen Änderungen der deutschen Umlaufsrendite für festverzinsliche Wertpapiere der öffentlichen Hand zeigt starke Evidenz für eine zeitliche Abhängigkeit in den Varianzen für die Periode Januar 1981 - Juli 1996. Der untersuchte Zeitraum umfaßt die...

Persistent link: https://www.econbiz.de/10014608703

Long‐run neutrality of demand shocks : Revisiting Blanchard and Quah (1989) with independent structural shocks

Herwartz, Helmut - In: Journal of Applied Econometrics 34 (2018) 5, pp. 811-819

Persistent link: https://www.econbiz.de/10012082823

Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

Herwartz, Helmut; Maxand, Simone; Walle, Yabibal M. - In: Journal of Time Series Analysis 40 (2019) 5, pp. 649-664

Persistent link: https://www.econbiz.de/10012094970