Extreme volatility dependence in exchange rates

Extreme volatility dependence in exchange rates

This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model con...

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Bibliographic Details
Main Authors: Magnolia Miriam Sosa Castro, Christian Bucio Pacheco, Héctor Eduardo Díaz Rodríguez
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2021-02-01
Series:Cuadernos de Economía
Subjects:
Exchange Rates
Volatility Modeling
Tail Dependence
Online Access:https://revistas.unal.edu.co/index.php/ceconomia/article/view/79400

Internet

https://revistas.unal.edu.co/index.php/ceconomia/article/view/79400

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