An investigation of price discovery and volatility spillovers in India's foreign exchange market
Year of publication: |
2015
|
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Authors: | Sehgal, Sanjay ; Ahmad, Wasim ; Deisting, Florent |
Published in: |
Journal of economic studies. - Bradford : Emerald, ISSN 0144-3585, ZDB-ID 127399-1. - Vol. 42.2015, 2, p. 261-284
|
Subject: | DCC-GARCH | BEKK-GARCH | Currency futures market | Directional spillovers | Price discovery | Volatility spillovers | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Indien | India | Währungsderivat | Currency derivative | ARCH-Modell | ARCH model | Kointegration | Cointegration |
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