Korean currency crisis and regime change: A multivariate GARCH model with Bayesian approach

Asia-Pacific Financial Markets

Volumn 7, Issue 1, 2000, Pages 31-44

  Kim, Suduk ^a   Tsurumi, Hiroki ^b  

^a Hoseo University   (South Korea)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Bayesian approach; GARCH; Laplace approximation; Regime change

Indexed keywords

EID: 10644295046     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010032518979     Document Type: Article

References (33)

1. Akaike (1971) AR model fitting for control, Ann. Inst. Stat. Math. 23, 163-180.
2. Akaike (1969) Fitting AR model for prediction, Ann. Inst. Stat. Math. 21, 243-247.
3. Baillie, R. T. and Bollerslev, T. (1990) A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange market, J. Int. Money Finance 9, 309-324.
4. Bollerslev, T. (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Rev. Econom. Statist. 72, 498-505.
5. Bollerslev, T. (1987) On the correlation structure for the generalized autoregressive conditional heteroskedastic process, J. Time Series Anal. 9, 121-131.
6. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, J. Econometrics 31, 307-327.
7. Bollerslev, T., Engle, R. F., and Wooldridge, J. M. (1988) A capital asset pricing model with time varying covariances, J. Polit. Economy 96, 116-131.
8. 2, Biometrika 62, 243-250.
9. Day, T. E. and Lewis, C. M. (1992) Stock market volatility and the information content of stock index options, J. Econometrics 52, 227-278.
10. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, J. Amer. Stat. Assoc. 74, 427-431.
11. Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072.
12. Domowitz, I. and Hakkio, C. S. (1985) Conditional variance and the risk premium in the foreign exchange market, J. Int. Econom. 19, 47-66.
13. Engle, R. F., Lilien, D. M., and Robins, R. P. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica 55 (2), 391-407.
14. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50 (4), 987-1007.
15. Engle, R. F. and Ng, V. K. (1991) Measuring and testing the impact of news on volatility, NBER Working Paper Series 3681.
16. Engle, R. F. and Ng, V. K. (1991) Time-varying volatility and the dynamic behavior of the term structure, NBER Working Paper Series 3682.
17. Engle, R. F., Ng, V. K., and Rothschild, M. (1990) Asset pricing with a factor-ARCH covariance structure, J. Econometrics 45, 213-237.
18. Fornari, F. and Mele, A. (1997) Sign- and volatility-switching ARCH models: theory and applications to international stock markets, J. Econometrics 12, 19-65.
19. French, K. R. G., Schwert, W., and Stamgaugh, R. F. (1987) Expected stock returns and volatility, J. Financ. Econom. 19, 3-29.
20. Karolyi, G. Andrew (1995) A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the United States and Canada, J. Busin. Econom. Stat. 13 (1), 11-25.
21. Kiefer, N. M. and Salmon, M. (1983) Testing normality in econometric models, Econom. Lett. 11, 123-127.
22. Kim, S. (1993) GARCH modeling: an examination of the identification issue, and an application to multi-country stock market data, Dept. of Economics, Rutgers University, unpublished PhD Thesis.
23. Kim, S. (1998) Finite sample performance of the MLE in GARCH(1,1): when the parameter on the lagged squared residuals is close to zero, J. Econom. Theory Econometrics 4 (2), 1-22.
24. Lamoureux, C. G. and Lastrapes, W. D. (1990) Persistence in variance, structural change, and the GARCH model, J. Busin. Econom. Stat. 8, 225-234.
25. Lamoureux, C. G. and Lastrapes, W. D. (1990) Heteroskedasticity in stock return data: volume versus GARCH effects, J. Finance 55, 221-229.
26. Lastrapes, W. D. and Koray, F. (1990) International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France and Germany, 1959-1985, J. Int. Money Finance 4, 402-422.
27. Ljung, G. M. and Box, G. P. E. (1978) On a measure of lack of fit in time series models, Biometrika 66, 66-72.
28. Lumsdaine, R. L. (1996) Consistency and asymptotic normality of the quasi-maximum likelihood estimators in IGARCH(1,1) and covariance stationary GARCH(1,1) models, Econometrica.
29. Nelson, D. B. (1990) Stationarity and persistence in the GARCH(1,1) model, Econometric Theory 6, 318-334.
30. Nelson, D. B. and Cao, C. Q. (1992) Inequality constraints in the univariate GARCH model, J. Busin. Econom. Stat. 10 (2), 229-235.
31. Said, S. E. and Dickey, D. A. (1984) Testing for unit roots in autoregressive moving average models of unknown order, Biometrika 71, 599-607.
32. Schwert, W. G. and Seguin, P. J. (1990) Heteroskedasticity in stock returns, J. Finance 55, 1129-1155.
33. Tsurumi, H. and Wago, H. (1996) A Bayesian analysis of unit root and cointegration with an application to a yen-dollar exchange rate model, Advances Econometrics 2 (B), 51-86.