Tamakoshi, Go; Hamori, Shigeyuki - In: International Review of Economics & Finance 31 (2014) C, pp. 105-113
This paper adopts a multivariate asymmetric dynamic conditional correlation GARCH model to examine the interdependence of US dollar (USD) exchange rates expressed in euro (EUR), British pound (GBP), and Swiss franc (CHF). The effect of Europe's recent financial turmoil on these dynamic...