Structural Volatility Impulse Response Analysis
改进了波动率脉冲响应函数，推导了BEKK型多元GARCH模型的分布，引入结构性识别方法使其具有因果解释，并用美国股票、国债和外汇市场数据展示了其应用。
Abstract We make three contributions to the volatility impulse response function (VIRF) developed by Hafner and Herwartz (2006). First, we derive its law for multivariate GARCH models of the BEKK type. Second, we present a structural embedding of the VIRF, leveraging recent advancements in the identification of multivariate generalized autoregressive conditional heteroskedasticity models. Third, we show how to endow the VIRF with a causal interpretation. We illustrate the merits of a structural VIRF analysis by investigating the impacts of historical and out-of-sample shock scenarios on the U.S. equity, government bond, and foreign exchange markets.