Correlations, return and volatility spillovers in Indian exchange rates
Year of publication: |
2014
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Authors: | Kumar, Dilip |
Published in: |
Global business review. - New Delhi [u.a.] : Sage, ISSN 0972-1509, ZDB-ID 2004354-5. - Vol. 15.2014, 1, p. 77-91
|
Subject: | Indian exchange rates | VAR (1)-MVGARCH (1, 1) | volatility spillover | time-varying conditional correlation | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Indien | India | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Korrelation | Correlation | Kapitaleinkommen | Capital income |
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