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Identification of Structural Vector Autoregressions by Stochastic Volatility

Citations

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Cited by:

  1. Rogers, John & Sun, Bo & Wu, Wenbin, 2025. "Drivers of the global financial cycle," Journal of International Economics, Elsevier, vol. 156(C).
  2. Ivan Mendieta-Munoz & Mengheng Li, 2019. "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah 2019_06, University of Utah, Department of Economics.
  3. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
  4. Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
  5. Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
  6. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
  7. Robin Braun, 2023. "The importance of supply and demand for oil prices: Evidence from non‐Gaussianity," Quantitative Economics, Econometric Society, vol. 14(4), pages 1163-1198, November.
  8. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
  9. Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
  10. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised Aug 2025.
  11. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  12. Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Discussion Papers of DIW Berlin 2081, DIW Berlin, German Institute for Economic Research.
  13. Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2023. "Monetary policy, external instruments, and heteroskedasticity," Quantitative Economics, Econometric Society, vol. 14(1), pages 161-200, January.
  14. Jinan Liu & Sajjadur Rahman & Apostolos Serletis, 2021. "Cryptocurrency shocks," Manchester School, University of Manchester, vol. 89(2), pages 190-202, March.
  15. Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
  16. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2155, DIW Berlin, German Institute for Economic Research.
  17. Marek A. Dąbrowski & Łukasz Kwiatkowski & Justyna Wróblewska, 2020. "Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 369-412, December.
  18. Alfan Mansur, 2023. "Simultaneous identification of fiscal and monetary policy shocks," Empirical Economics, Springer, vol. 65(2), pages 697-728, August.
  19. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
  20. Wu, Ping & Koop, Gary, 2023. "Estimating the ordering of variables in a VAR using a Plackett–Luce prior," Economics Letters, Elsevier, vol. 230(C).
  21. Robin Braun, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
  22. Gurdgiev, Constantin & Petrovskiy, Alexander, 2024. "Hedging and safe haven assets dynamics in developed and developing markets: Are different markets that much different?," International Review of Financial Analysis, Elsevier, vol. 92(C).
  23. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility," Papers 2404.11057, arXiv.org, revised Oct 2025.
  24. Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
  25. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
  26. Stefan Griller & Florian Huber & Michael Pfarrhofer, 2022. "Measuring Shocks to Central Bank Independence using Legal Rulings," Papers 2202.12695, arXiv.org.
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