Asymmetric volatility connectedness on the forex market
Year of publication: |
October 2017
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Authors: | Baruník, Jozef ; Kočenda, Evžen ; Vácha, Lukáš |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 77.2017, p. 39-56
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Subject: | volatility | connectedness | spillovers | semivariance | asymmetric effects | forex market | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Währungsderivat | Currency derivative | ARCH-Modell | ARCH model |
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