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Autor:innen: 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Working Papers No. 07-1
Verlag: 
Federal Reserve Bank of Boston, Boston, MA
Zusammenfassung: 
This paper presents a new method for identifying triangular systems of time-series data. Identification is the product of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself both by allowing for a timevarying covariance and by not requiring a complete estimation of the GARCH parameters. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is provided. The identification method is then applied in testing a conditional version of the CAPM.
Schlagwörter: 
Triangular systems
endogeneity
identification
conditional heteroskedasticity
generalized method of moments
GARCH
GMM
CAPM
JEL: 
C13
C32
G12
Dokumentart: 
Working Paper

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