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

Journal of International Money and Finance

Volumn 25, Issue 5, 2006, Pages 719-740

  Hafner, Christian M ^a   Herwartz, Helmut ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF HOHENHEIM   (Germany)

Author keywords

Exchange rate volatility; Impulse response functions; Multivariate GARCH

Indexed keywords

EID: 33748434064     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2006.04.006     Document Type: Article

References (30)

1. Bauwens L., Laurent S., and Rombouts J.V.K. Multivariate GARCH models: a survey. Journal of Applied Econometrics 21 (2006) 79-109
2. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
3. Bollerslev T. A conditional heteroscedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69 (1987) 542-547
4. Bollerslev T., and Engle R.F. Common persistence in conditional variances. Econometrica 61 (1993) 167-186
5. Comte F., and Lieberman O. Asymptotic theory for multivariate GARCH processes. Journal of Multivariate Analysis 84 (2003) 61-84
6. Danielsson J. Multivariate stochastic volatility models: estimation and a comparison with VGARCH models. Journal of Empirical Finance 5 (1998) 155-174
7. Deutsche Bundesbank. The monetary policy of the Bundesbank. Available at: (1995). http://www.bundesbank.de
8. Drost F., and Nijman T. Temporal aggregation of GARCH processes. Econometrica 61 (1993) 909-927
9. Edison, H., 1993. The effectiveness of central bank intervention: a survey of the post 1982 literature. Special Papers on International Economics 18, Princeton University.
10. Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50 (1982) 987-1008
11. Engle R.F., and Kroner K.F. Multivariate simultaneous generalized ARCH. Econometric Theory 11 (1995) 122-150
12. Engle R.F., and Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 48 (1993) 1749-1778
13. Gallant A.R., Rossi P.E., and Tauchen G. Nonlinear dynamic structures. Econometrica 61 (1993) 871-907
14. Galati, G., Melick, W., 2002. Central Bank interventions and market expectations. BIS Papers No 10.
15. Hafner C.M. Fourth moment structure of multivariate GARCH models. Journal of Financial Econometrics 1 (2003) 26-54
16. Hafner C.M., and Herwartz H. Testing for linear autoregressive dynamics under heteroskedasticity. The Econometrics Journal 3 (2000) 177-197
17. Harvey A.C., Ruiz E., and Shephard N. Multivariate stochastic variance models. Review of Economic Studies 61 (1994) 247-264
18. Hung H.J. Intervention strategies and exchange rate volatility: a noise trading perspective. Journal of International Money and Finance 16 (1997) 779-793
19. Jeantheau T. Strong consistency of estimators for multivariate ARCH models. Econometric Theory 14 (1998) 70-86
20. Kendall M., Stuart A., and Ord J.K. Kendall's Advanced Theory of Statistics. fifth ed. (1987), Charles Griffin and Co., London
21. Koop G., Pesaran M.H., and Potter S.M. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74 (1996) 119-147
22. Lancaster H.O. Traces and cumulants of quadratic forms in normal variables. Journal of the Royal Statistical Society, Series B 16 (1954) 247-254
23. Lin W.-L. Impulse response function for conditional volatility in GARCH models. Journal of Business & Economic Statistics 15 (1997) 15-25
24. Lütkepohl H. Introduction to Multiple Time Series Analysis (1993), Springer Verlag, Berlin
25. MacKinlay A.C. Event studies in economics and finance. Journal of Economic Literature 35 (1997) 13-39
26. Magnus J.R. Linear Structures (1988), Charles Griffin and Co., London
27. Panagiotidis T., Pelloni G., and Polasek W. Macroeconomic effects of reallocation shocks: a generalized impulse response function analysis for three European countries. Journal of Economic Integration 18 (2003) 794-816
28. Rogers J.M., and Siklos P.L. Foreign exchange market intervention in two small open economies: the Canadian and Australian experience. Journal of International Money and Finance 22 (2003) 393-416
29. Rose A.K., and Svensson L.E.O. European exchange rate credibility before the fall. European Economic Review 38 (1994) 1185-1216
30. Sims C. Macroeconomics and reality. Econometrica 48 (1980) 1-48