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Local projection variance impulse response

Hiroyuki Kawakatsu ()
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Hiroyuki Kawakatsu: Dublin City University

Empirical Economics, 2022, vol. 62, issue 3, No 11, 1219-1244

Abstract: Abstract This paper specifies a semiparametric variance impulse response function using realized variances. The news impact and impulse responses are estimated using local projection methods using least squares and external instruments. Compared to impulse responses estimated from parametric GARCH type models, semiparametric local projection responses show less persistence though the estimates are quite noisy.

Keywords: Impulse response; Local projection; Realized variance; Instrumental variables (search for similar items in EconPapers)
JEL-codes: C14 C32 C58 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00181-021-02063-x

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