Risk and return spillovers among the G10 currencies
Year of publication: |
November 2016
|
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Authors: | Greenwood-Nimmo, Matthew ; Viet Hoang Nguyen ; Rafferty, Barry |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 31.2016, p. 43-62
|
Subject: | Foreign exchange markets | Risk-neutral volatility | Risk-neutral skewness | Spillovers | Coordinated crash risk | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Risiko | Risk | Schätzung | Estimation |
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