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dc.contributor.authorGrobys, Klausen_US
dc.date.accessioned2012-03-21en_US
dc.date.accessioned2012-05-22T16:44:33Z-
dc.date.available2012-05-22T16:44:33Z-
dc.date.issued2012en_US
dc.identifier.citationJournal of Finance and Investment Analysis 2241-0996 International Scientific Press 1 2012 1 55-67en_US
dc.identifier.urihttp://hdl.handle.net/10419/58007-
dc.description.abstractThis contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that are not robust against unknown forms of heteroskedasticity. Different bootstrap methodologies are available which are able to generate heteroskedasticity robust parameter estimates. However, common literature is mostly focused on univariate time series models. This study applies a natural extension of the non-parametric pairs bootstrap methodology to different VAR models, taking into account empirical stock market data of the FTSE 100, DAX 30 and S&P 500. A comparison shows that the t-values of the bootstrap models' parameters are considerably lower than the ordinary ones and that the determinants of the covariance matrices are clearly smaller.en_US
dc.language.isoengen_US
dc.publisherInternational Scientific Pressen_US
dc.subject.jelC13en_US
dc.subject.jelC32en_US
dc.subject.jelC51en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordVAR modelsen_US
dc.subject.keywordpairs bootstrappingen_US
dc.subject.keywordheteroskedasticity robust estimationen_US
dc.subject.keywordnon-parametric approachen_US
dc.subject.keywordstock market dataen_US
dc.titleA non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) modelsen_US
dc.typeArticleen_US
dc.identifier.ppn688928919en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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