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2007-01-30Diskussionspapier DOI: 10.18452/4023
Volatility and Causality in Asia Pacific Financial Markets
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:21:29Z
dc.date.available2017-06-15T23:21:29Z
dc.date.created2007-02-14
dc.date.issued2007-01-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4675
dc.description.abstractThe present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, monetary policy behaviour or equity market reagibility. Additionally, a correlation analysis of the identified innovations reveals the degree of coherence in the Asian Pacific region.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFinancial Marketseng
dc.subjectAsia Pacificeng
dc.subjectStructural EGARCHeng
dc.subject.ddc330 Wirtschaft
dc.titleVolatility and Causality in Asia Pacific Financial Markets
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10075244
dc.identifier.doihttp://dx.doi.org/10.18452/4023
dc.subject.dnb17 Wirtschaft
local.edoc.pages33
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2007
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2007,4

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