Kumar, Manish - In: International Journal of Economics and Business Research 3 (2011) 4, pp. 371-387
This study examines the nature of interdependence, and return and volatility spillovers, for three Indian exchange rates: US dollar (USD), Euro and British Pound. We use the spillover index methodology of Diebold and Yilmaz (2009) to analyse precisely and independently the returns and volatility...
