Exchange return co-movements and volatility spillovers before and after the introduction of euro
Year of publication: |
2012
|
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Authors: | Antonakakis, Nikolaos |
Publisher: |
Wien : FIW |
Subject: | Exchange returns co-movement | Volatility spillover | Vector autoregression | Variance decomposition | Spillover index | Multivariate GARCH | Wechselkurs | Exchange rate | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Euro | Schweizer Franken | Swiss franc | Pfund Sterling | Pound Sterling | Yen | Vergleich | Comparison | US-Dollar | US dollar | Dekompositionsverfahren | Decomposition method | ARCH-Modell | ARCH model | Schätzung | Estimation | Großbritannien | United Kingdom | USA | United States | Schweiz | Switzerland | Japan | EU-Staaten | EU countries | 1986-2011 |
Extent: | Online-Ressource (31 S.) graph. Darst. |
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Series: | FIW working paper. - Vienna, ZDB-ID 2544164-4. - Vol. 80 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | hdl:10419/121087 [Handle] |
Classification: | C32 - Time-Series Models ; F31 - Foreign Exchange ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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Exchange return co-movements and volatility spillovers before and after the introduction of euro
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