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

Christian Hafner and Helmut Herwartz

Journal of International Money and Finance, 2006, vol. 25, issue 5, 719-740

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (105)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261-5606(06)00036-2
Full text for ScienceDirect subscribers only

Related works:
Software Item: RATS program to replicate Hafner-Herwartz volatility impulse response functions
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:25:y:2006:i:5:p:719-740

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().