Jeannine Polivka
Last Name
Polivka
First name
Jeannine
Email
jeannine.polivka@unisg.ch
Phone
+41 71 224 2413
Now showing 1 - 1 of 1
- Some of the metrics are blocked by yourconsent settings
Item type:Publication, Proxy-identification of a structural MGARCH model for asset returns(2024-10-17); We extend the multivariate GARCH (MGARCH) specification for volatility modeling by developing a structural MGARCH model that targets the identification of shocks and volatility spillovers in a speculative return system. Similarly to the proxy-SVAR framework, we leverage auxiliary proxy variables to identify the underlying shock system. The estimation of structural parameters, including an orthogonal matrix, is achieved through techniques derived from Riemannian optimization. Our analysis of daily S&P 500 returns, 10-year Treasury yields, and the U.S. Dollar Index, employing news-driven instrument variables, identifies an equity and a bond market shock.Type:working paperJournal:Swiss Finance Institute Research Paper Series