RATS program to replicate Hafner-Herwartz volatility impulse response functions
AbstractReplication file for Hafner and Herwartz(2006), "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration", Journal of International Money and Finance, vol 25, no 5, 719-740. Note: the data set is a reconstruction.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00183.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(5), pages 719-740, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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