The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and...

This paper disentangles direct spillovers and common factors, the sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be distinguished by specifying the variances...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...