Spillovers in exchange rates and the effects of global shocks on emerging market currencies
Year of publication: |
2014
|
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Authors: | Kavli, Haakon ; Kotzé, Kevin |
Published in: |
The South African journal of economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0038-2280, ZDB-ID 281249-6. - Vol. 82.2014, 2, p. 209-238
|
Subject: | Spillovers | Cholesky decompositions | foreign exchange | emerging markets | global shocks | stochastic volatility | sequential Monte Carlo methods | non-linear filters | Schwellenländer | Emerging economies | Spillover-Effekt | Spillover effect | Schock | Shock | Volatilität | Volatility | Wechselkurs | Exchange rate | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Theorie | Theory | Devisenmarkt | Foreign exchange market | Internationaler Finanzmarkt | International financial market |
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