Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models

Arbeitspapier

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the different volatility models and points out their advantages and drawbacks. It thereby enables researchers wishing to use identification of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a specific empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 5308

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: structural vector autoregression ; identification via heteroskedasticity ; conditional heteroskedasticity ; smooth transition ; Markov switching ; GARCH

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Luetkepohl, Helmut ; Netšunajev, Aleksei
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/110808
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ