Jayasinghe, Prabhath; Tsui, Albert K. - East Asian Bureau of Economic Research (EABER) - 2009
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...