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Title:Quarticity estimation on ohlc data Author(s):BALTER, JanineDate:2013Type:Working PaperSeries/Number:EUI MWP; 2013/21Abstract:Integrated quarticity, a measure of the volatility of volatility, plays a key role in analyzing the volatility of financial time series. As it is an important ingredient for the construction of accurate confidence intervals ...

Title:Identification and estimation of sources of common fluctuations : new methodologies and applications Author(s):MACIEJOWSKA, KatarzynaDate:2010Citation: Florence : European University Institute, 2010 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis addresses the problem of how to identify and model sources of common fluctuations of economic variables. It is an interesting question not only for researchers but also for policy makers and other authorities. ...

Title:Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/27Abstract:This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...

Title:Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/29Abstract:This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...

Title:Structural Vector Autoregressions with Markov Switching Author(s):LANNE, Markku; LUETKEPOHL, Helmut EUI affiliated

; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract:Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...

Title:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, Helmut EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying re- strictions in a standard structural vector autoregressive (SVAR) ...

Title:Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis Author(s):LANNE, Markku; LUETKEPOHL, Helmut EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/29Abstract:The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...