The factor structure of exchange rates volatility : global and intermittent factors
Massimiliano Caporin, C. Vladimir Rodríguez-Caballero, Esther Ruiz
| Year of publication: |
2024
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|---|---|
| Authors: | Caporin, Massimiliano ; Rodríguez-Caballero, Carlos Vladimir ; Ruiz, Esther |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 67.2024, 1, p. 31-45
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| Subject: | Fractional integration | Long-memory | Multi-level Dynamic factor model | Realized volatility | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Globalisierung | Globalization |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-023-02542-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015048346