Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
This paper examines the effects of newspaper headlines on the exchange rates vis-à-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1)...