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Modeling the demand for M3 in...
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ARCH model
Theorie
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Teräsvirta, Timo
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7
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5
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ECONIS (ZBW)
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New introduction to multiple time series analysis
Lütkepohl, Helmut
-
2006
Persistent link: https://www.econbiz.de/10001768634
Saved in:
2
Applied time series econometrics
Lütkepohl, Helmut
(
contributor
); …
-
2004
Persistent link: https://www.econbiz.de/10001851355
Saved in:
3
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
Lütkepohl, Helmut
-
2017
The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...
Persistent link: https://www.econbiz.de/10012952484
Saved in:
4
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH
Lütkepohl, Helmut
-
2018
Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with generalized autoregressive conditional...
Persistent link: https://www.econbiz.de/10012913245
Saved in:
5
New Introduction to Multiple Time Series Analysis
Lütkepohl, Helmut
-
2005
Deals with analyzing and forecasting multiple time series, considering a range of models and methods. This reference work and graduate-level textbook enables readers to perform their analyses in a competent manner
Persistent link: https://www.econbiz.de/10014415231
Saved in:
6
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
-
2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233639
Saved in:
7
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
-
2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233991
Saved in:
8
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
-
2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640
Saved in:
9
Applied time series econometrics
Lütkepohl, Helmut
(
ed.
);
Krätzig, Markus
(
contributor
)
-
2009
-
Transferred to digital printing
Persistent link: https://www.econbiz.de/10009702029
Saved in:
10
Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut
;
NetŠunajev, Aleksei
-
2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10010361372
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