Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility
By Michel Normandin, L. Phaneuf. 2004
172 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e2001d0624b81d2a00ef33a6621794e903113be2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Pentti Saikkonen
- Carsten Trenkler
- Markku Lanne
- Aleksei Netsunajev
- Mika Meitz
- H. Luetkepohl
- Carsten Jentsch
- R. Brüggemann
In Finance
- Carsten Trenkler
- Pentti Saikkonen
- H. Luetkepohl
- Markku Lanne
- Mika Meitz
- Aleksei Netsunajev
- Carsten Jentsch
- R. Brüggemann
Citations in the corpus
- Identification and estimation of non-Gaussian structural vector autoregressions (2015, methodology): “Identification by explicitly modeling conditional heteroskedasticity of the errors in various forms, considered by Normandin and Phaneuf (2004), Lanne et al. (2010), and Lütkepohl and Netšunajev (2014b), is also covered by our approach.”
- Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, methodology): “Sims (1992), Bernanke & Blinder (1992), Christiano et al.”