Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market
Suresh Kashyap, Sachin Kashyap
| Year of publication: |
2020
|
|---|---|
| Authors: | Kashyap, Suresh ; Kashyap, Sachin |
| Published in: |
International journal of business innovation and research : IJBIR. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-0260, ZDB-ID 2436046-6. - Vol. 22.2020, 4, p. 488-505
|
| Subject: | exchange rate | structural break | volatility | GARCH and EGARCH model | Bai and Perron test | ARCH-LM test | Volatilität | Volatility | Strukturbruch | Structural break | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Indien | India | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | US-Dollar | US dollar | Devisenmarkt | Foreign exchange market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBIR.2020.109032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012270943