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Local projection variance impulse response

Author

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  • Hiroyuki Kawakatsu

    (Dublin City University)

Abstract

This paper specifies a semiparametric variance impulse response function using realized variances. The news impact and impulse responses are estimated using local projection methods using least squares and external instruments. Compared to impulse responses estimated from parametric GARCH type models, semiparametric local projection responses show less persistence though the estimates are quite noisy.

Suggested Citation

  • Hiroyuki Kawakatsu, 2022. "Local projection variance impulse response," Empirical Economics, Springer, vol. 62(3), pages 1219-1244, March.
    • Handle: RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02063-x
    DOI: 10.1007/s00181-021-02063-x
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    More about this item

    Keywords

    Impulse response; Local projection; Realized variance; Instrumental variables;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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