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Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

Herwartz, Helmut; Lütkepohl, Helmut - 2009

Persistent link: https://www.econbiz.de/10003957277

Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks

Herwartz, Helmut; Lütkepohl, Helmut - 2011

Persistent link: https://www.econbiz.de/10009008157

Convergence of real capital market interest rates : evidence from inflation indexed bonds

Herwartz, Helmut; Roestel, Jan - In: Journal of money, credit and banking : JMCB 43 (2011) 7, pp. 1523-1541

Persistent link: https://www.econbiz.de/10009349315

Monetary independence under floating exchange rates : evidence based on international breakeven inflation rates

Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10009514157

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...

Persistent link: https://www.econbiz.de/10011903210

Local/import - and foreign currency prices : inflation, uncertainty and pass through endogeneity

Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011897540

Mundell's trilemma: policy trade-offs within the middle ground

Herwartz, Helmut; Roestel, Jan - In: Journal of international money and finance 75 (2017), pp. 1-13

Persistent link: https://www.econbiz.de/10011788015

Asset prices, financial amplification and monetary policy : structural evidence from an identified multivariate GARCH model

Herwartz, Helmut; Roestel, Jan - In: Journal of international financial markets, … 78 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013357315

Revising arguments for the modern policy framework : an empirical study

Roestel, Jan - 2011

Persistent link: https://www.econbiz.de/10009512298

Dependence in macroeconomic variables: Assessing instantaneous and persistent relations between and within time series

Maxand, Simone - 2017

The present thesis comprises two rather independent chapters. In general, the diagnosis and quantiﬁcation of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very diﬀerent...

Persistent link: https://www.econbiz.de/10012799255