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  • Search: subject:"impulse-response functions of volatility"
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DCC–GARCH models 1 impulse-response functions of volatility 1
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Pérez-Rodríguez, Jorge 1
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Atlantic Economic Journal 1
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The Euro and Other Major Currencies Floating Against the U.S. Dollar
Pérez-Rodríguez, Jorge - In: Atlantic Economic Journal 34 (2006) 4, pp. 367-384
This paper discusses the interdependent effects of conditional volatilities in returns of the Euro and other major currencies against U.S. dollar exchange rates (spot rates) since the launch of the Euro, using, for this purpose, the daily data and dynamic conditional correlation (DCC)–GARCH...
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