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New Estimates of Time-Varying Currency Betas : A Trivariate BEKK Approach

Jayasinghe, Prabhath - 2014

This paper examines the conditional time-varying currency betas from ﬁve developed markets and four emerging markets. We employ a modiﬁed trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...

Persistent link: https://www.econbiz.de/10013050759