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Exchange rate volatility and domestic investment in G7 : are the effects asymmetric?

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Asymmetric dependence in international currency markets

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Speculative capital flows, exchange rate volatility and monetary policy: South African experience

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Volatility analysis of Shanghai composite index and financial crises

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US monetary policy and spillovers to select EMEs : an episodic analysis

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Mathematical models for the assessment of collapse in oil prices

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Open economy dynamics in a floating exchange rate developing country context

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Macro fundamentals as a source of stock market volatility in China : a GARCH-MIDAS approach

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Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

Persistent link: https://www.econbiz.de/10010341118

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