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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

We apply the fractionally cointegrated vector autoregressive (FCVAR) model to analyze the relationship between spot and futures prices in five commodity markets (aluminium, copper, lead, nickel, and zinc). To this end, we first extend the FCVAR model to accommodate de terministic trends in the...

Persistent link: https://www.econbiz.de/10010381434

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

Persistent link: https://www.econbiz.de/10011817166

Wake me up before you GO-GARCH

Boswijk, Herman Peter; Weide, Roy van der - 2006

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is...

Persistent link: https://www.econbiz.de/10011349722

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...

Persistent link: https://www.econbiz.de/10013459316

Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method

Ihle, Rico; Amikuzuno, Joseph - 2010

We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its...

Persistent link: https://www.econbiz.de/10010342911

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

between Israelis and Palestinians strongly inhibit the movement of people and commodities. In order to obtain evidence on the …

Persistent link: https://www.econbiz.de/10010356541

Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions

Bruns, Stephan B.; Moneta, Alessio; Stern, David I. - 2019

The size of the economy-wide rebound effect is crucial for estimating the contribution that energy efficiency … improvements can make to reducing greenhouse gas emissions and for understanding the drivers of energy use. Existing estimates … autoregressive (SVAR) model, we identify the dynamic causal impact of structural shocks, including an energy efficiency shock …

Persistent link: https://www.econbiz.de/10012053107

The role of the prior in estimating VAR models with sign restrictions

Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...

Persistent link: https://www.econbiz.de/10012661969

Identification of Structural Vector Autoregressions by Stochastic Volatility

Bertsche, Dominik - 2020

We propose to exploit stochastic volatility for statistical identification of structural vector autoregressive models (SV-SVAR). We discuss full and partial identification of the model and develop efficient Expectation Maximization algorithms for Maximum Likelihood inference. Simulation evidence...

Persistent link: https://www.econbiz.de/10012831147