Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis (Q2175635)
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scientific article; zbMATH DE number 7195072
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| English | Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis |
scientific article; zbMATH DE number 7195072 |
Statements
Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis (English)
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29 April 2020
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volatility impulse response function (VIRF)
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independent component analysis (ICA)
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GARCH
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SVAR
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volatility causality
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0.753334641456604
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0.7462631464004517
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0.7222944498062134
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0.7175688147544861
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