Exchange return co-movements and volatility spillovers before and after the introduction of euro
Nikolaos Antonakakis
| Year of publication: |
2012
|
|---|---|
| Authors: | Antonakakis, Nikolaos |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 22.2012, 5, p. 1091-1109
|
| Subject: | Exchange returns co-movement | Volatility spillover | VAR | Variance decomposition | Multivariate GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Euro | Wechselkurs | Exchange rate | Schätzung | Estimation | Dekompositionsverfahren | Decomposition method | Japan | Großbritannien | United Kingdom | EU-Staaten | EU countries | VAR-Modell | VAR model | US-Dollar | US dollar | Yen | Schweizer Franken | Swiss franc | Pfund Sterling | Pound Sterling | Vergleich | Comparison | Schweiz | Switzerland |
| 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/10010220182