Search

Now showing items 1-6 of 6

Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...

Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract:Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...

Title:Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights Author(s):LUETKEPOHL, Helmut EUI affiliated

Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/11Abstract:Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...

Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut EUI affiliated

Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...

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:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut EUI affiliated

; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract:When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...

Search

Filters