Helmut Lütkepohl

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\

Ihnestrasse 21

Berlin

Germany

SCHOLARLY PAPERS

9

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146

SSRN CITATIONS
Rank 37,984

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Top 37,984

in Total Papers Citations

5

CROSSREF CITATIONS

11

Scholarly Papers (9)

1.

The Relation between Monetary Policy and the Stock Market in Europe

DIW Berlin Discussion Paper No. 1729
Number of pages: 18 Posted: 18 Apr 2018
Helmut Lütkepohl and Aleksei Netsunajev
Free University of Berlin (FUB) and Free University of Berlin (FUB)
Downloads 38 (454,201)
Citation 1

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Cointegrated vector autoregression, heteroskedasticity, Markov-switching model, monetary policy analysis

2.

Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

DIW Berlin Discussion Paper No. 1672
Number of pages: 37 Posted: 11 Jul 2017
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 25 (517,920)
Citation 1

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Structural Vector Autoregression, Identification via Heteroskedasticity, Conditional Heteroskedasticity, Smooth Transition, Markov Switching, GARCH

3.

Estimation of Structural Impulse Responses: Short-Run Versus Long-Run Identifying Restrictions

DIW Berlin Discussion Paper No. 1642
Number of pages: 15 Posted: 20 Feb 2017
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker
Free University of Berlin (FUB), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 24 (523,836)
Citation 1

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Impulse responses, structural vector autoregressive model, longrun multipliers, short-run multipliers

4.

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

DIW Berlin Discussion Paper No. 1764
Number of pages: 28 Posted: 21 Oct 2018
Free University of Berlin (FUB), University of Helsinki - Department of Political and Economic Studies, Free University of Berlin (FUB) and University of Helsinki - Department of Statistics
Downloads 15 (579,137)
Citation 3

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Heteroskedasticity, structural identification, vector autoregressive process

5.

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

DIW Berlin Discussion Paper No. 1707
Number of pages: 39 Posted: 19 Dec 2017
Helmut Lütkepohl and Tomasz Wozniak
Free University of Berlin (FUB) and University of Melbourne - Department of Economics
Downloads 15 (579,137)
Citation 1

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Identification through Heteroskedasticity, Markov-Switching Models, Savage-Dickey Density Ratio, Monetary Policy Shocks, Divisia Money

6.

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH

DIW Berlin Discussion Paper No. 1750
Number of pages: 44 Posted: 08 Aug 2018
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 11 (605,616)

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Structural vector autoregression, conditional heteroskedasticity, GARCH, identification via heteroskedasticity

7.

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

DIW Berlin Discussion Paper No. 1762
Number of pages: 31 Posted: 21 Oct 2018
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker
Free University of Berlin (FUB), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 9 (619,059)
Citation 2

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Impulse responses, vector autoregressive model, joint confidence bands

8.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

DIW Berlin Discussion Paper No. 1632
Number of pages: 49 Posted: 17 Jan 2017
Helmut Lütkepohl, George Milunovich and Minxian Yang
Free University of Berlin (FUB), Macquarie University - Department of Economics and University of New South Wales (UNSW)
Downloads 9 (619,059)

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Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem

9.

Structural Vector Autoregressions: Checking Identifying Long‐Run Restrictions via Heteroskedasticity

Journal of Economic Surveys, Vol. 30, Issue 2, pp. 377-392, 2016
Number of pages: 16 Posted: 03 Mar 2016
Helmut Lütkepohl and Anton Velinov
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
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Abstract:

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Conditional heteroskedasticity, heteroskedasticity, Markov switching model, vector autoregression, vector GARCH