A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations
Anuradha Patnaik
| Year of publication: |
2013
|
|---|---|
| Authors: | Patnaik, Anuradha |
| Published in: |
Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 11.2013, 1/2, p. 28-47
|
| Subject: | Exchange rates | Volatility | Multivariate GARCH models | Dynamic conditional correlations | Volatilität | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Korrelation | Correlation | Indien | India | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Währungsrisiko | Exchange rate risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010338354