Thore Schlaak

German Institute for Economic Research (DIW Berlin)

Mohrenstraße 58

Berlin, 10117

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

88

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Monetary Policy, External Instruments and Heteroskedasticity

DIW Berlin Discussion Paper No. 1749
Number of pages: 35 Posted: 08 Aug 2018
Maximilian Podstawski, Thore Schlaak and Malte Rieth
DIW Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 33 (536,078)

Abstract:

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Monetary policy, structural vector autoregressions, identification with external instruments, heteroskedasticity, Markov switching

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 28 (563,506)
Citation 3

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

3.

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 14 (657,216)
Citation 3

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

4.

Heteroskedastic Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 1876
Number of pages: 35 Posted: 29 Jun 2020
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 12 (672,109)

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Structural vector autoregression, proxy VAR, identification through heteroskedasticity

5.

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

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 4, pp. 715-735, 2018
Number of pages: 21 Posted: 03 Jul 2018
Helmut Luetkepohl and Thore Schlaak
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 1 (763,805)
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