Modelling of Volatility in Monetary Transmission Mechanism

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906558" target="_blank" >RIV/62156489:43110/15:43906558 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1063/1.4912941" target="_blank" >http://dx.doi.org/10.1063/1.4912941</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4912941" target="_blank" >10.1063/1.4912941</a>

Result language
angličtina
Original language name
Modelling of Volatility in Monetary Transmission Mechanism
Original language description
The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.
Czech name
—
Czech description
—

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the International Conference on Numerical Analysis and Applied Mathematics 2014 (ICNAAM 2014)
ISBN
978-0-7354-1287-3
ISSN
—
e-ISSN
—
Number of pages
4
Pages from-to
—
Publisher name
American Institute of Physics (AIP)
Place of publication
Melville
Event location
Rhodes
Event date
Sep 22, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000355339704071

Similar results(10)