Fang, WenShwo; Lai, YiHao; Miller, Stephen M. - 2005
The effects of exchange rate risk have interested researchers, since the collapse of fixed exchange rates. Little … 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 of the …