The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data
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DOI: 10.1016/j.najef.2019.01.009
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More about this item
Keywords
Effective exchange rates; Continuous wavelet analysis; Maximum overlap discrete wavelet analysis; Multiresolution analysis; Ratio of VaRs; WCoVaR;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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