The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
Year of publication: |
2015
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Authors: | Karfakis, Costas I. ; Panagiōtidēs, Theodōros |
Published in: |
Empirica : journal of european economics. - Dordrecht : Springer, ISSN 0340-8744, ZDB-ID 188142-5. - Vol. 42.2015, 4, p. 795-811
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Subject: | Currency markets | Quantitative easing | GARCH | Dynamic conditional correlation | Quantile regression | ARCH-Modell | ARCH model | Geldpolitik | Monetary policy | Devisenmarkt | Foreign exchange market | Griechenland | Greece | Schätzung | Estimation | Korrelation | Correlation | Wechselkurs | Exchange rate | Eurozone | Euro area | Volatilität | Volatility | Währungskrise | Currency crisis |
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