Following the leaders? : a study of co-movement and volatility spillover in BRICS currencies
Suman Das, Saikat Sinha Roy
| Year of publication: |
2023
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|---|---|
| Authors: | Das, Suman ; Roy, Saikat Sinha |
| Published in: |
Economic systems. - Amsterdam [u.a.] : Elsevier, ISSN 0939-3625, ZDB-ID 1072886-7. - Vol. 47.2023, 2, p. 1-18
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| Subject: | BRICS | Exchange rate | Volatility | MGARCH-DCC model | Return co-movement | VAR-based spillover index | Volatilität | Wechselkurs | Spillover-Effekt | Spillover effect | BRICS-Staaten | BRICS countries | ARCH-Modell | ARCH model | Schätzung | Estimation | Japan |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ecosys.2022.100980 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014317437