Ševčuk, Viktor O.; Kopych, Roman - In: Risks : open access journal 9 (2021) 5, pp. 1-19
This study is aimed at estimation of the exchange rate volatility and its impact on the business cycle fluctuations in four central and eastern European countries (the Czech Republic, Hungary, Poland, and Romania). Exchange rate volatility is estimated with the EGARCH(1,1) model. It is found...