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Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System
11 references·16 citing·32 second hop
Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System (2000)Multivariate GARCH Modeling of Exchange R…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets (2019)Financial cointegration and s…Risk and return spillovers among the G10 currencies (2016)Risk and return spillovers am…Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach (2015)Exchange rate uncertainty and…Return and Volatility Transmission in U.S. Housing Markets (2011)Return and Volatility Transmi…Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (2009)Modelling price and volatilit…Multivariate GARCH modeling of sector volatility transmission (2007)Multivariate GARCH modeling o…A Multivariate Generalized Orthogonal Factor GARCH Model (2006)A Multivariate Generalized Or…Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis (2005)Transmission of prices and pr…Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance (2005)Re-examining the asymmetric p…Implied volatility linkages among major European currencies (2005)Implied volatility linkages a…Cross-market linkages between U.S. and Japanese precious metals futures trading (2004)Cross-market linkages between…Sudden changes in variance and volatility persistence in foreign exchange markets (2003)Sudden changes in variance an…Multivariate GARCH Models: A Survey (2003)Multivariate GARCH Models: A …Information Flows Between the U.S. and China Commodity Futures Trading (2003)Information Flows Between the…Volatility transmission in the oil and natural gas markets (2002)Volatility transmission in th…Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)Modelling Time-Varying Exchan…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Expected stock returns and volatility (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Macroeconomics and Reality (1980)A test for constant correlations in a multivariate GARCH model (2000)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Bounds testing approaches to the analysis of level relationships (2001)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS195 cited

Cited by

  • 2002Volatility transmission in the oil and natural gas markets200 cited
  • 2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula180 cited
  • 2016Risk and return spillovers among the G10 currencies177 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2007Multivariate GARCH modeling of sector volatility transmission158 cited
  • 2006A Multivariate Generalized Orthogonal Factor GARCH Model151 cited
  • 2003Multivariate GARCH Models: A Survey144 cited
  • 2005Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis133 cited
  • 2004Cross-market linkages between U.S. and Japanese precious metals futures trading122 cited
  • 2019Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets113 cited
  • 2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance105 cited
  • 2011Return and Volatility Transmission in U.S. Housing Markets100 cited
  • 2003Sudden changes in variance and volatility persistence in foreign exchange markets96 cited
  • 2003Information Flows Between the U.S. and China Commodity Futures Trading95 cited
  • 2015Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach91 cited
  • 2009Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets86 cited
  • 2005Implied volatility linkages among major European currencies84 cited