An empirical analysis of currency volatilities during the recent global financial crisis
Year of publication: |
2014
|
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Authors: | Ozer-Imer, Itir ; Ozkan, Ibrahim |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 43.2014, p. 394-406
|
Subject: | Exchange rate co-movement | Volatility spillover | Recent financial crisis | Dynamic conditional correlation | Change point analysis | Brownian motion | Volatilität | Volatility | Finanzkrise | Financial crisis | Wechselkurs | Exchange rate | Korrelation | Correlation | ARCH-Modell | ARCH model | Welt | World | Spillover-Effekt | Spillover effect | Internationaler Finanzmarkt | International financial market | Japan | Währungskrise | Currency crisis |
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