A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations
Year of publication: |
2013
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Authors: | Patnaik, Anuradha |
Published in: |
Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 11.2013, 1/2, p. 28-47
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Subject: | Exchange rates | Volatility | Multivariate GARCH models | Dynamic conditional correlations | Volatilität | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Indien | India | Korrelation | Correlation | Spillover-Effekt | Spillover effect | Schätzung | Estimation |
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