Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
By Christian M. Hafner, Helmut Herwartz. 2006
168 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/8e5c98618c1a773975c0283fd33d4d4d6568a9b3
How researchers see this paper
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In Economics and Econometrics
- Sajjadur Rahman
- Apostolos Serletis
- Thomas Osowski
- Eric Olson
- Esther Ruiz
- Andrew Vivian
- Luiz Koodi Hotta
- D. Almeida
In Finance
- Thomas Osowski
- Eric Olson
- Esther Ruiz
- Sajjadur Rahman
- Apostolos Serletis
- Andrew Vivian
- Luiz Koodi Hotta
- D. Almeida
Citations in the corpus
- THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS (2011, methodology): “…(2006) introduced a new concept of impulse response functions, known as “volatility impulse response functions” (VIRFs), tracing the effects of independent shocks on the conditional variance—see also Shields et al. (2005) for an early application of the Hafner and Herwartz (2006) VIRFs concept.”
- MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “First, empirical evidence on volatility feedbacks is plentiful; see Granger et al. (1986), Engle et al. (1990), Comte and Lieberman (2000), Hafner and Herwartz (2006, 2008b), Bai and Chen (2008), Diebold and Yilmaz (2009), Nakatani and Teräsvirta (2009), Conrad and Karanasos (2010), Beirne et al.…”
- Policy uncertainty and international financial markets: the case of Brexit (2018, methodology): “Based on Monte Carlo investigations, the latter two methodologies are shown to be preferable for applied work (Hafner and Herwartz 2006a; Hafner and Herwartz 2008).”
- Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020, unknown): “This study develops VIRFs for DCC-GARCH models and proposes an alternative to the rolling-window analysis of the dynamic connectedness framework of (Diebold & Yilmaz, 2009, 2012, 2014).”
- The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, methodology): “Because Hafner and Herwartz (2006) use exchange rate data, they select utut ′ from two”