RATS program to replicate Hafner-Herwartz volatility impulse response functions

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Hafner and Herwartz(2006), "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration", Journal of International Money and Finance, vol 25, no 5, 719-740. Note: the data set is a reconstruction.

Language: RATS
Requires: RATS 7.30
Keywords: Volatility; impulse; response (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/hafner_herwartz_jimf2006.zip (application/zip)

Related works:
Journal Article: Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00183

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