School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
UNSW Australia Business School, School of Economics
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exchange rates, asymmetric volatillity, long memory, trade weighted index, price trend, volatility spillover, volatility jumps
price discovery, weighted price contribution, information share, information flow, efficient price, overnight return, daytime return, the S&P 100 index
Risk premium, volatility feedback, GARCH-in-mean, Maximum likelihood, Mixture distributions, Time series
Contemporaneous correlation, ARCH-M decomposition, mixture distributions, NIG distribution, GH skewed t distribution, maximum likelihood
Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes
Identification, Structural VAR, GARCH
risk premium, volatility feedback, return predictability, realised variance model, statistical balance
Qualitative response, Probit, Logit, Linear median regression, Endogeneity, Identification, Heteroskedasticity
price discovery, information share, sequential markets, Beverage-Nelson decomposition, efficient price, variance ratio, foreign exchange rate
GARCH, stochastic volatility, ARCH-M, leverage, maximum likelihood
Contagion, Structural GARCH, Global Financial Crisis
quasi likelihood, stochastic differentiability, asymptotic normality, loss of identification, dependent data
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File name: ECTJ089.
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File name: TWEC.
Heteroskedasticity, Simultaneous Equations Models, Testing for Identification, Davies' Problem
vector autoregression, error factor, identification, Granger causality, impulse responses, Phillips curve, monetary neutrality
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