✦ LIBER ✦

Volatility impulse responses for multivariate GARCH models: An exchange rate illustration

✍ Scribed by Christian M. Hafner; Helmut Herwartz

Book ID: 116658748
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 494 KB
Volume: 25
Category: Article
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2006.04.006

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

An outlier robust GARCH model and foreca

An outlier robust GARCH model and forecasting volatility of exchange rate returns

✍ Beum-Jo Park 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 143 KB 👁 2 views

## Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for do

An impulse-response function for a vecto

An impulse-response function for a vector autoregression with multivariate GARCH-in-mean

✍ John Elder 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 52 KB

An impulse-response function for a VAR w

An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

✍ Chew Lian Chua; Sandy Suardi; Sarantis Tsiaplias 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 196 KB