Exchange return co-movements and volatility spillovers before and after the introduction of euro
Year of publication: |
2012
|
---|---|
Authors: | Antonakakis, Nikolaos |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 22.2012, 5, p. 1091-1109
|
Publisher: |
Elsevier |
Subject: | Exchange returns co-movement | Volatility spillover | VAR | Variance decomposition | Multivariate GARCH |
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Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro
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Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro
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