Fang, WenShwo; Lai, YiHao; Miller, Stephen M. - In: Journal of International Money and Finance 28 (2009) 2, pp. 215-239
This paper tests the hypothesis of asymmetric effects of exchange rate risk with a dynamic conditional correlation bivariate GARCH(1,1)-M model. The asymmetry means that exchange rate risk (volatility) affects exports differently during appreciations and depreciations, which may reflect...