Abstract Changes in residual volatility are often used for identifying structural shocks in
vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or …

This paper examines the effects of unconventional monetary policy measures by the
European Central Bank on nine European countries not adopting the euro with a novel …

In structural vector autoregressive analysis identifying the shocks of interest via
heteroskedasticity has become a standard tool. Unfortunately, the approaches currently …

In this study, Bayesian inference is developed for structural vector autoregressive models in
which the structural parameters are identified via Markov-switching heteroskedasticity. In …

In structural vector autoregressive analysis identifying the shocks of interest via
heteroskedasticity has become a standard tool. Unfortunately, the approaches currently …

We present a flexible structural vector autoregressive modeling framework with identification
via heteroskedasticity. It encompasses a range of volatility models and allows for imposing …

A growing literature uses changes in residual volatility for identifying structural shocks in
vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or …

This paper investigates the relative importance of cost, demand, financial and monetary
shocks in driving real exchange rates in four CEE countries over 2000–2018. A two-country …

We propose a multivariate simultaneous unobserved components framework to determine
the two-sided interactions between structural trend and cycle innovations. We relax the …

A growing literature uses changes in residual volatility for identifying structural shocks in
vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or …