Narrow search
Showing 1 - 10 of 159
Cover Image
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
Cover Image
Simultaneous equation systems with heteroscedasticity : identification, estimation, and stock price elasticities
Milunovich, George; Yang, Minxian - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 288-308
Persistent link: https://www.econbiz.de/10011894993
Cover Image
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
Cover Image
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
Cover Image
On identifying permanent and transistory shocks in VAR models
Yang, Minxian - 1995
Persistent link: https://www.econbiz.de/10000908720
Cover Image
Some properties of vector autoregressive processes with Markov-switching coefficients
Yang, Minxian - 1997
Persistent link: https://www.econbiz.de/10000970017
Cover Image
On identifying permanent and transitory shocks in VAR models
Yang, Minxian - In: Economics letters 58 (1998) 2, pp. 171-175
Persistent link: https://www.econbiz.de/10001235587
Cover Image
System estimators of cointegrating matrix in absence of normalising information
Yang, Minxian - In: Journal of econometrics 85 (1998) 2, pp. 317-337
Persistent link: https://www.econbiz.de/10001240188
Cover Image
Some properties of vector autoregressive processes with Markov-switching coefficients
Yang, Minxian - 1997
Persistent link: https://www.econbiz.de/10000638459
Cover Image
The risk return relationship : evidence from index return and realised variance series
Yang, Minxian - 2014
Persistent link: https://www.econbiz.de/10010349309