Volatility spillovers between the European and South African foreign exchange markets
Year of publication: |
2020
|
---|---|
Authors: | Niyitegeka, Olivier ; Tewari, Devi D. |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 8.2020, 1, p. 1-17
|
Subject: | BEKK-GARCH | DCC-GARCH | volatility spillover | contagion test | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Südafrika | South Africa | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | EU-Staaten | EU countries | ARCH-Modell | ARCH model |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2020.1741308 [DOI] hdl:10419/245297 [Handle] |
Classification: | C32 - Time-Series Models ; F31 - Foreign Exchange ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Exchange return co-movements and volatility spillovers before and after the introduction of euro
Antonakakis, Nikolaos, (2012)
-
Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais, (2019)
-
Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach
Atoi, Ngozi V., (2021)
- More ...
-
Volatility spillovers between the European and South African foreign exchange markets
Niyitegeka, Olivier, (2020)
-
Niyitegeka, Olivier, (2014)
-
Niyitegeka, Olivier, (2023)
- More ...