Macroeconomic news surprises and volatility spillover in foreign exchange markets
Year of publication: |
2015
|
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Authors: | Ben Omrane, Walid ; Hafner, Christian M. |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 48.2015, 2, p. 577-607
|
Subject: | Foreign exchange markets | Volatility spillover | News surprises | Impulse response analysis | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Ankündigungseffekt | Announcement effect | Schätzung | Estimation | ARCH-Modell | ARCH model |
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