Inference in VARs with Conditional Heteroskedasticity of Unknown Form

By R. Brüggemann, Carsten Jentsch, Carsten Trenkler. 2016

127 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a6de48858521a9e801796eb4f8b89a1f5cd98573

Citations in the corpus

• GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019, unknown): “Nevertheless, according to the simulation results of Br¨uggemann, Jentsch, and Trenkler (2016), it performs reasonably well and is not outperformed by the asymptotically valid residual-based moving block bootstrap even in moderately large samples.”
• Joint Confidence Sets for Structural Impulse Responses (2016, unknown): “lim →∞ P(     ∗ 1−) = 1−  (9)”
• Identifying Uncertainty Shocks Using the Price of Gold (2018, unknown): “The stock market index falls on impact, consistent with Caldara et al. (2014), accompanied by a drop in employment, industrial production and hours worked.”