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Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets : a cross-country comparison

Wang, Kai-Li; Fawson, Christopher; Chen, Mei-Ling; Wu, … - In: Pacific-Basin finance journal 27 (2014), pp. 115-137

Persistent link: https://www.econbiz.de/10010499708

Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

Wang, Kai-Li; Fawson, Christopher; Chen, Mei-Ling; Wu, … - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 115-137

Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the...

Persistent link: https://www.econbiz.de/10010785056