A0500
Title: Nonlinear forecasts and impulse responses for causal-noncausal (S)VAR models
Authors: Christian Gourieroux - University of Toronto and CREST (Canada) [presenting]
Abstract: The closed-form formulas of nonlinear forecasts and nonlinear impulse response functions (IRF) are introduced for the mixed causal-noncausal (Structural) Vector Autoregressive (S)VAR models. We also discuss the identification of nonlinear causal innovations of the model to which the shocks are applied. Our approach is illustrated by a simulation study and an application to a bivariate process of Bitcoin/USD and Ethereum/USD exchange rates.
