Volatility impulse response functions for multivariate GARCH models
Year of publication: |
1998-08-01
|
---|---|
Authors: | HAFNER, Christian M. ; HERWARTZ, Helmut |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Multivariate GARCH | impulse response functions | exchange rate volatility |
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