Time-varying volatility spillover of foreign exchange rate in three Asian markets : based on DCC-GARCH approach
Mohini Gupta, Purwa Srivastava, Amritkant Mishra, Malayaranjan Sahoo
| Year of publication: |
2021
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| Authors: | Gupta, Mohini ; Srivastava, Purwa ; Mishra, Amritkant ; Sahoo, Malayaranjan |
| Published in: |
Theoretical and applied economics : GAER review. - Bucureşti : AGER, ISSN 1841-8678, ZDB-ID 2640970-7. - Vol. 28.2021, 4/629, p. 105-120
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| Subject: | foreign exchange | GARCH DCC | volatility and spillover | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Asien | Asia | Japan | Schätzung | Estimation | Devisenmarkt | Foreign exchange market | Südkorea | South Korea |
| 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/10013259111