How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Xinyu Wang, Zikang Qi, Jianglu Huang
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Xinyu ; Qi, Zikang ; Huang, Jianglu |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 120.2023, p. 1-11
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| Subject: | Event shocks | Exchange rate volatility | Long memory | Mixed-frequency data | Monetary shocks | Value at risk | Wechselkurs | Exchange rate | Schock | Shock | Volatilität | Volatility | Finanzkrise | Financial crisis | Geldpolitik | Monetary policy | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2022.106155 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014383984