Multivariate GARCH modeling of exchange rate volatility transmission in the european monetary system

Financial Review

Volumn 35, Issue 1, 2000, Pages 29-48

  Kearney, Colm ^a   Patton, Andrew J ^b  

^a DUBLIN CITY UNIVERSITY   (Ireland)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Exchange rates; GARCH; Volatility

Indexed keywords

EID: 84976362797     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2000.tb01405.x     Document Type: Article

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