The dynamics of exchange rate volatility : a panel VAR approach
Axel Grossmann; Inessa Love; Alexei G. Orlov
| Year of publication: |
2014
|
|---|---|
| Authors: | Grossmann, Axel ; Love, Inessa ; Orlov, Alexei G. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 33.2014, p. 1-27
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| Subject: | Exchange rate volatility | Spectral analysis | High-frequency components of volatility | Financial variables | Panel VAR estimation and simulation | Volatilität | Volatility | Wechselkurs | Exchange rate | VAR-Modell | VAR model | Panel | Panel study | Schätzung | Estimation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kaufkraftparität | Purchasing power parity |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011299874