An empirical analysis of currency volatilities during the recent global financial crisis
Year of publication: |
2014
|
---|---|
Authors: | Ozer-Imer, Itir ; Ozkan, Ibrahim |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 43.2014, C, p. 394-406
|
Publisher: |
Elsevier |
Subject: | Exchange rate co-movement | Volatility spillover | Recent financial crisis | Dynamic conditional correlation | Change point analysis | Brownian motion |
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