Question
Identify, explain briefly and specify the general equation for each of the following multivariate time series and volatility models: a. VAR(p) model b. Granger causality
Identify, explain briefly and specify the general equation for each of the following multivariate time series and volatility models: a. VAR(p) model b. Granger causality model c. VEC model d. ARDL model e. GARCH(p, q) model f. GARCH-M g. EGARCH
2. State the basic difference between ARCH-GARCH models and stochastic volatility models in financial econometrics. 3. What is the most popular technique in modelling long-run relationships in finance?
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Interpreting And Analyzing Financial Statements
Authors: Karen P. Schoenebeck
3rd Edition
0130082163, 9780130082169
