Benny Hartwig

Benny Hartwig

Goethe University Frankfurt

I will present my job market paper in the Time Series session on the 14th December from 09:00 to 11:00 am.

This paper contributes to the analysis of time-varying VAR models with Cholesky stochastic volatility by showing that covariance estimates are sensitive to the ordering of the variables and by proposing a ordering-robust alternative that is simple to implement and allows for more general dynamic relations between variables.