Identification of structural multivariate GARCH models

DOI10.1016/J.JECONOM.2020.07.019MaRDI QIDQ2116335zbMATH OpenOpenAlexFDO

Authors Helmut Herwartz, Simone Maxand, Christian M. Hafner

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.07.019

zbMATH Keywords

MGARCHportfolio riskidentifying assumptionsstructural innovationsvolatility transmission

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 3092905 (Why is no real title available?)
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
• Asymptotic theory for a vector ARMA-GARCH model
• Asymptotic theory for multivariate GARCH processes.
• Fourth moments and independent component analysis
• Identification and estimation of non-Gaussian structural vector autoregressions
• Independent component analysis, a new concept?
• On asymptotic theory for multivariate GARCH models
• Semiparametric multivariate volatility models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Statistical inference for independent component analysis: application to structural VAR models
• Structural vector autoregressive analysis

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
• Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
• scientific article; zbMATH DE number 5211919 (Why is no real title available?)
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Testing for identification in SVAR-GARCH models

This page was built for publication: Identification of structural multivariate GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116335)