Extreme volatility dependence in exchange rates
Year of publication: |
2021
|
---|---|
Authors: | Sosa Castro, Miriam ; Bucio Pacheco, Christian ; Díaz Rodríguez, Héctor Eduardo |
Published in: |
Cuadernos de economía. - Bogotá : [Verlag nicht ermittelbar], ISSN 0121-4772, ZDB-ID 734609-8. - Vol. 40.2021, 82, p. 25-55
|
Subject: | Exchange rates | volatility modelling | tail dependence | Wechselkurs | Exchange rate | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassungen in spanischer und portugiesischer Sprache |
Other identifiers: | 10.15446/cuad.econ.v40n82.79400 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
FX market volatility modelling : can we use low-frequency data?
Lyócsa, Štefan, (2021)
-
Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo, (2015)
-
Mixture periodic GARCH models : theory and applications
Hamdi, Fayçal, (2018)
- More ...
-
Dependencia condicional en el bloque Tlcan : un análisis con modelos GARCH y Cópula
Sosa Castro, Miriam, (2018)
-
Contagion and stock interdependence in the bric+m Block
Sosa Castro, Magnolia Miriam, (2018)
-
Contagio vía cópulas dinámicas en los mercados de capitales del TLCAN (2000-2016)
Bucio Pacheco, Christian, (2019)
- More ...