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Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the Asian crisis vs. the global crisis

Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27

Persistent link: https://www.econbiz.de/10010347752

Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the asian crisis vs. the global crisis

Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...

Persistent link: https://www.econbiz.de/10011568197