Identification of structural multivariate GARCH models
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Publication:2116335
DOI10.1016/J.JECONOM.2020.07.019OpenAlexW2889469153MaRDI QIDQ2116335FDOQ2116335
Authors: Helmut Herwartz, Simone Maxand, Christian M. Hafner 
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.019
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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- Structural vector autoregressive analysis
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- Fourth moments and independent component analysis
- On asymptotic theory for multivariate GARCH models
- Statistical inference for independent component analysis: application to structural VAR models
- Semiparametric multivariate volatility models
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Cited In (9)
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- Identification of long memory in GARCH models
- Identification of structural VAR models via independent component analysis: a performance evaluation study
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- Asymmetric volatility impulse response functions
- Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
- Title not available (Why is that?)
- Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
- Testing for identification in SVAR-GARCH models
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