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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10010488275
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Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10011296801
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Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut; Milunovich, George - In: Journal of economic dynamics & control 73 (2016), pp. 241-258
Persistent link: https://www.econbiz.de/10011709107
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Unobservable shocks as carriers of contagion
Dungey, Mardi H.; Milunovich, George; Thorp, Susan - In: Journal of banking & finance 34 (2010) 5, pp. 1008-1021
Persistent link: https://www.econbiz.de/10003971329
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On identifying structural VAR models via ARCH effects
Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012
Persistent link: https://www.econbiz.de/10009624405
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012
Persistent link: https://www.econbiz.de/10009626036
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Symmetric versus asymmetric conditional covariance forecasts : does it pay to switch?
Thorp, Susan; Milunovich, George - In: The journal of financial research 30 (2007) 3, pp. 355-377
Persistent link: https://www.econbiz.de/10003536978
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Hedgers, investors and futures return volatility : the case of NYMEX crude oil
Milunovich, George; Ripple, Ronald D. - 2006
Persistent link: https://www.econbiz.de/10003391540
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - In: Journal of banking & finance 58 (2015), pp. 71-79
Persistent link: https://www.econbiz.de/10011543895