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This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic … specific use at central banks. -- DSGE models ; central banks ; communication ; estimation ; modelling …
Persistent link: https://www.econbiz.de/10003832138
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent …
Persistent link: https://www.econbiz.de/10009530402
-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory … the FEVD tend to remove unreasonable implications, increase estimation precision, sharpen and also alter the inference of …
Persistent link: https://www.econbiz.de/10012037315
The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.Full paper is available at: 'https://ssrn.com/abstract=2707176' https://ssrn.com/abstract=2707176
Persistent link: https://www.econbiz.de/10012968328
Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models …
Persistent link: https://www.econbiz.de/10012970411
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic …
Persistent link: https://www.econbiz.de/10014214942
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic …
Persistent link: https://www.econbiz.de/10013132116
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic …
Persistent link: https://www.econbiz.de/10013132212