Co-movements and volatility spillover in Asian Forex Market : a multivariate GARCH and MRA approach
Year of publication: |
April 2016
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Authors: | Bhandari, Avishek ; Yazir P. ; Hafsal K. |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 15.2016, 4, p. 391-404
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Subject: | Exchange Rates | Dynamic Conditional Correlation | Multi-resolution Analysis | Wavelet Cross Correlation | Volatilität | Volatility | ARCH-Modell | ARCH model | Korrelation | Correlation | Wechselkurs | Exchange rate | Spillover-Effekt | Spillover effect | Devisenmarkt | Foreign exchange market | Schätzung | Estimation | Japan | Asien | Asia | Multivariate Analyse | Multivariate analysis | Aktienmarkt | Stock market |
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