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Exchange rate shocks and trade: A multivariate GARCH-M approach
16 references·10 citing·42 second hop
Exchange rate shocks and trade: A multivariate GARCH-M approach (2013)Exchange rate shocks and trade: A multiva…Exchange rate volatility and trade flows: a review article (2007)Exchange rate volatility and …The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)The Modern History of Exchang…Classifying exchange rate regimes: Deeds vs. words (2004)Classifying exchange rate reg…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Does Exchange-Rate Stability Increase Trade and Welfare? (2000)Does Exchange-Rate Stability …The Impact of Exchange Rate Volatility on International Trade Flows (1999)The Impact of Exchange Rate V…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Bilateral Trade Flows, the Linder Hypothesis, and Exchange Risk (1987)Bilateral Trade Flows, the Li…A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information (1986)A Theory of Ambiguity, Credib…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach (2023)Does exchange rate volatility…ASYMMETRIC EFFECTS OF EXCHANGE RATE VOLATILITY ON BILATERAL TRADE BETWEEN TAIWAN AND INDONESIA (2020)ASYMMETRIC EFFECTS OF EXCHANG…Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries (2020)Asymmetric effect of exchange…DÖVİZ KURUNU BELİRLEYEN EKONOMİK FAKTÖRLER: TÜRKİYE EKONOMİSİ İÇİN ARDL SINIR TESTİ UYGULAMASI (2019)DÖVİZ KURUNU BELİRLEYEN EKONO…Dealing With Endogeneity in Threshold Models Using Copulas (2019)Dealing With Endogeneity in T…The exchange rate, asymmetric shocks and asymmetric distributions (2017)The exchange rate, asymmetric…Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach (2017)Bond market integration in Ea…Asset Prices and Macroeconomic Outcomes: A Survey (2017)Asset Prices and Macroeconomi…The impact of exchange rate volatility on emerging market exports (2015)The impact of exchange rate v…A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility (2015)A new NN-PSO hybrid model for…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Some International Evidence on Output-Inflation Tradeoffs. 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References

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  • n.d.Multivariate GARCH models: a survey2,055 cited
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  • 2002Stationarity and the existence of moments of a family of GARCH processes

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357 cited
  • 2000Does Exchange-Rate Stability Increase Trade and Welfare?338 cited
  • Cited by

    • 2020Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries46 cited
    • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited
    • 2019Dealing With Endogeneity in Threshold Models Using Copulas34 cited
    • 2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach33 cited
    • 2023Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach29 cited
    • 2015A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility29 cited
    • 2015The impact of exchange rate volatility on emerging market exports20 cited
    • 2017The exchange rate, asymmetric shocks and asymmetric distributions17 cited
    • 2020ASYMMETRIC EFFECTS OF EXCHANGE RATE VOLATILITY ON BILATERAL TRADE BETWEEN TAIWAN AND INDONESIA16 cited
    • 2019DÖVİZ KURUNU BELİRLEYEN EKONOMİK FAKTÖRLER: TÜRKİYE EKONOMİSİ İÇİN ARDL SINIR TESTİ UYGULAMASI16 cited