Volatility impulse responses for multivariate GARCH models: An exchange rate illustration Export

@article{citeulike:838815, abstract = {We introduce a new concept of impulse response functions tracing the effects of independent shocks on volatility through time while avoiding typical orthogonalization and ordering problems. In an empirical study of a bivariate foreign exchange (FX) rate series we use volatility impulse response functions to discuss the effects of central bank decisions such as direct interventions in the FX-market or open market activities on FX market volatility. Comparing our concept with conditional moment profiles introduced by Gallant et al. [Gallant, A.R., Rossi, P.E., Tauchen, G., 1993. Nonlinear dynamic structures. Econometrica 61, 871-907], we show that for shocks affecting FX rates in an asymmetric way, the difference between the two methodologies and their interpretation can be substantial.}, author = {Hafner, Christian M. and Herwartz, Helmut}, citeulike-article-id = {838815}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jimonfin.2006.04.006}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6V9S-4KF1HCX-1/2/e7b9cf243b73676ef590ab3bb10bd155}, doi = {10.1016/j.jimonfin.2006.04.006}, journal = {Journal of International Money and Finance}, keywords = {econometrics, fx, garch}, month = {August}, number = {5}, pages = {719--740}, posted-at = {2006-09-11 14:57:50}, priority = {5}, title = {Volatility impulse responses for multivariate GARCH models: An exchange rate illustration}, url = {http://dx.doi.org/10.1016/j.jimonfin.2006.04.006}, volume = {25}, year = {2006} }

TY - JOUR ID - citeulike:838815 L3 - citeulike-article-id:838815 N2 - We introduce a new concept of impulse response functions tracing the effects of independent shocks on volatility through time while avoiding typical orthogonalization and ordering problems. In an empirical study of a bivariate foreign exchange (FX) rate series we use volatility impulse response functions to discuss the effects of central bank decisions such as direct interventions in the FX-market or open market activities on FX market volatility. Comparing our concept with conditional moment profiles introduced by Gallant et al. [Gallant, A.R., Rossi, P.E., Tauchen, G., 1993. Nonlinear dynamic structures. Econometrica 61, 871-907], we show that for shocks affecting FX rates in an asymmetric way, the difference between the two methodologies and their interpretation can be substantial. IS - 5 JF - Journal of International Money and Finance EP - 740 TI - Volatility impulse responses for multivariate GARCH models: An exchange rate illustration VL - 25 SP - 719 KW - econometrics KW - fx KW - garch AU - Hafner, Christian AU - Herwartz, Helmut PY - 2006/08// UR - http://dx.doi.org/10.1016/j.jimonfin.2006.04.006 ER -