Sen, Chitrakalpa; Chakrabarti, Gagari; Sarkar, Amitava - Volkswirtschaftliche Fakultät, … - 1981
This paper considers the embedded dynamics of conditional volatility in five selected exchange rates vis-à-vis Indian Rupee. Specifically, it explores the possible asymmetric response of volatility towards good and bad news and inquires whether it is sensitive to breaks in volatility. Using a...