Kanas, Angelos; Kouretas, Georgios P - In: Journal of Financial Research 24 (2001) 3, pp. 443-61
The issue of volatility spillovers between the black and official exchange markets for U. S. dollars in Greece for 1975-89 is examined. A vector error correction-bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and volatility. During the...
