Local projection variance impulse response

被引：0
|
作者：
Hiroyuki Kawakatsu
机构：
[1] Dublin City University,
来源：
Empirical Economics | 2022年 / 62卷
关键词：
Impulse response; Local projection; Realized variance; Instrumental variables; C14; C32; C58;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
收藏
页码：1219 / 1244
页数：25
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