Structural Models of Volatility

Description

As a weakness, multivariate GARCH modesl are rarely identified in a strict structural sense. This means that we only can derive statstical descriptions of the volatility transmission patterns with little insight regarding the underlying economics. The aim of this project is to propose new identification strategies and to empirically study their properities.

Additional Informationsunspecified
Commencement Date1 March 2019
Contributors Fengler, Prof. Dr. Matthias (Project Manager) & Polivka, Jeannine (Project Worker)
Datestamp 24 Sep 2019 13:41
Institute/School University of St.Gallen
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MS - Faculty of Mathematics and Statistics
SEPS - School of Economics and Political Science
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Completion Date 28 February 2022
Publications Fengler, Matthias & Dare, Wale (2018) Global estimation of realized spot volatility in the presence of price jumps.
Fengler, Matthias & Dare, Wale: Global estimation of realized spot volatility in the presence of price jumps. - SoFie 2019. - Shanghai.
HSG Profile Area SEPS - Quantitative Economic Methods
Keywords MGARCH; structural identification
Funders SNF – Third Party
Partners Prof. Dr. Helmut Herwartz, Universität Göttingen
Id 247770
Project Range HSG + other universities
Reference Number 176684
Project Status ongoing
Project Type applied research project
URI http://p3.snf.ch/project-176684
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