Cross-time-frequency analysis of volatility linkages in global currency markets : an extended framework
Year of publication: |
2022
|
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Authors: | Baklaci, Hasan Fehmi ; Yelkenci, Tezer |
Published in: |
Eurasian economic review : a journal in applied macroeconomics and finance. - Heidelberg : Springer, ISSN 2147-429X, ZDB-ID 2646817-7. - Vol. 12.2022, 2, p. 267-314
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Subject: | Exchange rates | Intraday data | Multivariate GARCH | Volatility spillover | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Devisenmarkt | Foreign exchange market | US-Dollar | US dollar | Welt | World | Schätzung | Estimation |
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