Search found 2 matches
- Wed Jan 20, 2010 11:42 am
- Forum: Estimation
- Topic: Heterosked. problems when estimating a VAR / VECM (Lead-Lag)
- Replies: 0
- Views: 2470
Heterosked. problems when estimating a VAR / VECM (Lead-Lag)
Hi, I am experiencing problems when trying to investigate the lead-lag relationship between spot and futures prices and would very much appreciate your help. I have three pairs of spot and futures series, and after employing the Johansen cointegration test I have found that the 1st pair have rank=1,...
- Wed Jan 20, 2010 11:17 am
- Forum: Estimation
- Topic: Bivariate Error Correction Model (ECM) with GARCH error
- Replies: 3
- Views: 9729
Re: Bivariate Error Correction Model (ECM) with GARCH error
Hi, I am currently experiencing some of the same problems as you have encountered. I have found a description of how to estimate a multivariate VAR-GARCH in Brooks, C., 2008. Introductory Econometrics for Finance (2nd ed). Cambridge University Press. pp.441-444 . This is done by highlighting the var...