Conditional volatility persistence and volatility spillovers in the foreign exchange market
Fei Su
| Year of publication: |
2021
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|---|---|
| Authors: | Su, Fei |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 55.2021, p. 1-17
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| Subject: | Conditional volatility persistence | Foreign exchange market | Market states | Volatility spillover | Volatilität | Volatility | Devisenmarkt | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2020.101312 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013264608