@techreport{e4b9e30567764f51a03645854a08dab3,
title = "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market",
abstract = "Many economic analyses revolve around the identification of shocks. However, this becomes difficult if we do not have enough information, for example because we do not observe the underlying process at a high enough frequency. As a result, if the response of one variable to a shock to another takes place `in the nick of time' this shock remains unidentified. We introduce a structural vector-autoregression model with Markov-switching heteroskedasticity in the data generating process that allows us to study instantaneous impulse-response relationships with the proper selection of a supporting `catalyst', which can be easier to find than an instrumental variable.",
keywords = "SVAR, Identification, Markov-switching, Commodity prices, Index Trading",
author = "Hang Sun and Bos, {Jaap W.B.} and Zhuo Li",
year = "2017",
month = aug,
day = "31",
doi = "10.26481/umagsb.2017019",
language = "English",
series = "GSBE Research Memoranda",
publisher = "Maastricht University, Graduate School of Business and Economics",
number = "019",
address = "Netherlands",
type = "WorkingPaper",
institution = "Maastricht University, Graduate School of Business and Economics",
}