Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
- 1 February 2000
- journal article
- Published by Wiley in The Financial Review
- Vol. 35 (1), 29-48
- https://doi.org/10.1111/j.1540-6288.2000.tb01405.x
Abstract
No abstract availableKeywords
This publication has 11 references indexed in Scilit:
- Volatility Reversion and Correlation Structure of Returns in Major International Stock MarketsThe Financial Review, 1997
- MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETSJournal of Business Finance & Accounting, 1996
- Asymmetric volatility transmission in international stock marketsJournal of International Money and Finance, 1995
- Is the correlation in international equity returns constant: 1960–1990?Journal of International Money and Finance, 1995
- A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and CanadaJournal of Business & Economic Statistics, 1995
- ARCH MODELS: PROPERTIES, ESTIMATION AND TESTINGJournal of Economic Surveys, 1993
- Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch ModelThe Review of Economics and Statistics, 1990
- A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 1988
- Modelling the persistence of conditional variancesEconometric Reviews, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982