Contagion in futures FOREX markets for the post-Global Financial Crisis : A multivariate FIGARCH-cDCC approach
This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairs of future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX market. The results are of interest to policymakers who provide regulations for the futures FOREX markets
Year of publication: |
[2021]
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Authors: | Tsiaras, Konstantinos |
Publisher: |
[S.l.] : SSRN |
Subject: | Finanzkrise | Financial crisis | Devisenmarkt | Foreign exchange market | Währungsderivat | Currency derivative | Multivariate Analyse | Multivariate analysis | Ansteckungseffekt | Contagion effect |
Saved in:
freely available
Extent: | 1 Online-Ressource (24 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Quantitative Methods Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2020 erstellt |
Classification: | c58 ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013228881