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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the group of seven

Herwartz, Helmut - In: Review of world economics 139 (2003) 4, pp. 650-682

Persistent link: https://www.econbiz.de/10001915170

Investigating the JPY DEM-rate : arbitrage opportunities and a case for asymmetry

Herwartz, Helmut - In: International journal of forecasting 17 (2001) 2, pp. 231-245

Persistent link: https://www.econbiz.de/10001575595

Volatility impulse responses for multivariate GARCH models : an exchange rate illustration

Hafner, Christian M.; Herwartz, Helmut - In: Journal of international money and finance 25 (2006) 5, pp. 719-740

Persistent link: https://www.econbiz.de/10003404968

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423