Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach
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DOI: 10.1016/j.iref.2014.01.016
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More about this item
Keywords
Dynamic conditional correlation; GARCH; Exchange rates; European financial crises;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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