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The Adjustment of the Yule-Walker Relations in VAR Modelling: The Impact of the Euro on the Hong Kong Stock Market

Penm, Jack H.W; Brailsford, Tim; Terrell, R.D

Description

VAR models are increasingly being used in the analysis of relationships between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of emerging markets given their characteristics. We show that a direct extension of the use of the Yule-Walker relations for fitting VAR models with zero-non-zero patterned coefficient matrices is inconsistent with statistical procedures as...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40680
http://digitalcollections.anu.edu.au/handle/1885/40680
Source: Multinational Finance Journal

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