Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets
Ling Long; Albert K. Tsui; Zhaoyong Zhang
| Year of publication: |
2014
|
|---|---|
| Authors: | Long, Ling ; Tsui, Albert K. ; Zhang, Zhaoyong |
| Published in: |
Japan and the world economy : international journal of theory and policy. - Amsterdam : Elsevier Science Publ., ISSN 0922-1425, ZDB-ID 649581-3. - Vol. 30.2014, p. 10-24
|
| Subject: | Time-varying currency betas | MGARCH | ICAPM | Contagion | Long memory | Finanzmarkt | Financial market | Betafaktor | Beta risk | Schätzung | Estimation | Ansteckungseffekt | Contagion effect | Schwellenländer | Emerging economies | CAPM | Welt | World | ARCH-Modell | ARCH model | Industrieländer | Industrialized countries | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| 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/10010462927