Browsing by Keywords "Multivariate GARCH"
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(2003)This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented ...
(Bilkent University, 2008)This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.
Testing the effects of oral interventions on the covariance of exchange rates in a state-of-the-art computational environment (Bilkent University, 2009)In the last decade, both Federal Reserve System (FED) and European Central Bank (ECB) abandoned direct market interventions and relied on communication as their main policy tool to affect exchange rates. This paper ...