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Volatility impulse response functions for multivariate GARCH models: an exchange rate illustration
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Document type | Article de périodique (Journal article) |
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Publication date | 2006 |
Language | Anglais |
Journal information | "Journal of International Money and Finance : theoretical and empirical research in international economics and finance" - Vol. 25, no. 5, p. 719-740 (Août 2006) |
Peer reviewed | yes |
Publisher | Pergamon (Kidlington, United Kingdom) |
issn | 0261-5606 |
Publication status | Publié |
Affiliations |
UCL
- EUEN/CORE - Center for operations research and econometrics Christian-Albrechts-Universität zu Kiel - Institut für Statistik und Ökonometrie |
Keywords | Multivariate GARCH ; Impulse response functions ; Exchange rate volatility |
Links |
Bibliographic reference | Hafner, Christian ; Herwartz, Helmut. Volatility impulse response functions for multivariate GARCH models: an exchange rate illustration. In: Journal of International Money and Finance : theoretical and empirical research in international economics and finance, Vol. 25, no. 5, p. 719-740 (Août 2006) |
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Permanent URL | http://hdl.handle.net/2078.1/23578 |