New estimates of time-varying currency betas : a trivariate BEKK approach
Prabhath Jayasinghe; Albert K. Tsui; Zhaoyong Zhang
| Year of publication: |
2014
|
|---|---|
| Authors: | Jayasinghe, Prabhath ; Tsui, Albert K. ; Zhang, Zhaoyong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 42.2014, p. 128-139
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| Subject: | Time-varying currency betas | Multivariate GARCH-M models | International CAPM | Fractionally integrated processes | Stochastic dominance | CAPM | Betafaktor | Beta risk | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
| 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/10010478223