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

B-Tier

Journal: Journal of International Money and Finance

Year: 2006

Volume: 25

Issue: 5

Pages: 719-740

Authors (2)

Hafner, Christian M. (Université Catholique de Louva...) Herwartz, Helmut (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count