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Multivariate volatility analysis of VW stock prices

Herwartz, Helmut; Lütkepohl, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992357

Econometric analysis of high frequency data

Herwartz, Helmut - In: Modern econometric analysis : surveys on recent …, (pp. 87-102). 2006

Persistent link: https://www.econbiz.de/10003375829

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the group of seven

Herwartz, Helmut - In: Review of world economics 139 (2003) 4, pp. 650-682

Persistent link: https://www.econbiz.de/10001915170

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - In: VAR models in macroeconomics - new developments and …, (pp. 169-203). 2013

Persistent link: https://www.econbiz.de/10010252334

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - 2012

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of...

Persistent link: https://www.econbiz.de/10009688810