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~institution:"CESifo"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"Markov switching"
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Long Memory with Markov-Switching
GARCH
Kraemer, Walter
-
CESifo
-
2008
The paper considers the Markov-Switching
GARCH
(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated
GARCH
-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10005406028
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2
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
Luetkepohl, Helmut
;
Netšunajev, Aleksei
-
CESifo
-
2015
A 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...
Persistent link: https://www.econbiz.de/10011257667
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