Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System

By Colm Kearney, Andrew J. Patton. 2000

194 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c5239a98d03875726d3ad0cac5f57cdd6f88672c

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Citations in the corpus

Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis (2004, methodology): “However, while the popularity of models such as these has increased in recent years, “…the number of reported studies of multivariate GARCH models remains small relative to the number of univariate studies” (Kearney and Patton, 2000: 34).”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, methodology): “We also employ the hit tests discussed in the Appendix to check for the correctness of the specification 13 Kearney and Patton (2000) estimated a five-dimension BEKK model on European exchange rates.”
Multivariate GARCH Models: A Survey (2003, background): “It is thus not surprising that these models are rarely used when the number of series is larger than 3 or 4 (see Kearney and Patton, 2000, for an example).”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, background): “Kearney and Patton (2000) employ a series of multivariate GARCH models on the members of the former European Monetary System (EMS) prior to their complete monetary unification and find that less volatile weekly data exhibit a significantly smaller tendency to transmit volatility compared to more…”
Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis: Discussion Paper No 114 (2002, unknown): “…the parameters b ij , c ij and g ij cannot be interpreted on an individual basis: “instead, the functions of the parameters which form the intercept terms and the coefficients of the lagged variance, covariance, and error terms that appear are of interest” (Kearney and Patton 2000: 36).”
A Multivariate Generalized Orthogonal Factor GARCH Model (2007, background): “, Kearney and Patton 2000 and references therein). Besides real dissipation of volatility interactions over time, properties of the commonly used BEKK model provide a potential explanation. For instance, in their recent study on some European currencies, Kearney and Patton (2000) used this model, wh”