Structural Models of Volatility
Type
applied research project
Start Date
March 1, 2019
End Date
February 28, 2022
Status
completed
Keywords
MGARCH
structural identification
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.
Leader contributor(s)
Member contributor(s)
Polivka, Jeannine
Partner(s)
Prof. Dr. Helmut Herwartz, Universität Göttingen
Funder
Range
HSG + other universities
Range (De)
HSG + andere
Eprints ID
247770
Funding code
176684
results