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~institution:"Banco de México"
~source:"repec"
~subject:"Multivariate GARCH"
~subject:"Volatility transmission"
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Multivariate GARCH
Volatility transmission
Composite Forecasts
1
Composite forecast models
1
Exchange rates
1
Forecast Evaluation
1
GARCH
1
Implied volatility
1
Mexican Peso-U.S. Dollar Exchange Rate
1
Option implied volatility
1
Regime-Switching
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Volatility forecasting
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agricultural commodities
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futures markets
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Benavides, Guillermo
1
Hernández, Manuel A.
1
Ibarra-Ramírez, Raúl
1
Trupkin, Danilo R.
1
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Banco de México
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Center for Financial Studies
6
Econometric Society
5
HAL
5
Institut de Préparation à l'Administration et à la Gestion (IPAG)
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
4
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
School of Economics and Management, University of Aarhus
4
Department of Economics and Finance, College of Business and Economics
3
Institute of Economic Research, Kyoto University
3
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
EconWPA
2
Instituto Valenciano de Investigaciones Económicas (IVIE)
2
Nationalekonomiska institutionen, Stockholms Universitet
2
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
2
Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
1
BANCO DE LA REPÚBLICA
1
Banca d'Italia
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Centro Ricerche Nord Sud (CRENoS)
1
Departamento de Economía, Universidad Carlos III de Madrid
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department of Accounting, Finance and Economics, Griffith Business School
1
Department of Economics and Related Studies, University of York
1
Department of Economics, Auburn University
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Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe
1
Department of Economics, National University of Singapore
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Department of Economics, University of California-Riverside
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Department of Economics, University of Victoria
1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
1
Dipartimento di Scienze Economiche e Statistiche (DISES), Università degli Studi di Salerno
1
Dipartimento di Statistica, Università degli Studi di Milano-Bicocca
1
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Economics Department, Ben Gurion University of the Negev
1
Economics Department, University of Strathclyde
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets
Hernández, Manuel A.
;
Ibarra-Ramírez, Raúl
;
Trupkin, …
-
Banco de México
-
2011
follow a multivariate
GARCH
approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn …
Persistent link: https://www.econbiz.de/10009644839
Saved in:
2
Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of
Garch
, Option Implied and Composite Forecast Models
Benavides, Guillermo
-
Banco de México
-
2006
Mexican peso - US Dollar exchange rate. The models applied are univariate
GARCH
, a multi-variate
GARCH
(the BEKK model …
Persistent link: https://www.econbiz.de/10004967922
Saved in:
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