Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8919534 | Econometrics and Statistics | 2017 | 17 Pages |
Abstract
Changes in residual volatility are often used 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. The different volatility models are reviewed and their advantages and drawbacks are indicated. An application investigating the interaction between U.S. monetary policy and the stock market illustrates the related issues.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Helmut Lütkepohl, Aleksei NetÅ¡unajev,