Time Series I

Speaker(s) Type Length Chair
Lukas Boer Benny Hartwig Lukas Hoesch Md. Nazmul Ahsan Parallel
10:00
120
mins
Frank Kleibergen

Papers

(Listed in order of speakers above)

A Simple Instrument for Proxy Vector Autoregressive Analysis

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Robust Inference in Time-Varying Structural VAR models: The DC-Cholesky Multivariate Stochastic Volatility Model

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Model-Specification Tests Robust to Multiple Instabilities

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Simple estimators and inference for higher-order stochastic volatility models

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