Volatility spillover in the foreign exchange market : the Indian experience
Saurabh Ghosh
| Year of publication: |
2014
|
|---|---|
| Authors: | Ghosh, Saurabh |
| Published in: |
Macroeconomics and finance in emerging market economies. - London [u.a.] : Routledge, ISSN 1752-0843, ZDB-ID 2425758-8. - Vol. 7.2014, 1, p. 175-194
|
| Subject: | emerging financial market | exchange rate | volatility spillover | multivariate GARCH | threshold GARCH | GJR-TGARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Spillover-Effekt | Spillover effect | Devisenmarkt | Foreign exchange market | Indien | India | Finanzmarkt | Financial market | Schätzung | Estimation |