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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidad Nacional de Colombia
2021-02-01
|
| Series: | Cuadernos de Economía |
| Subjects: | |
| Online Access: | https://revistas.unal.edu.co/index.php/ceconomia/article/view/79400 |
| _version_ | 1811176752058204160 |
|---|---|
| author | Magnolia Miriam Sosa Castro Christian Bucio Pacheco Héctor Eduardo Díaz Rodríguez |
| author_facet | Magnolia Miriam Sosa Castro Christian Bucio Pacheco Héctor Eduardo Díaz Rodríguez |
| author_sort | Magnolia Miriam Sosa Castro |
| collection | DOAJ |
| description |
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 conditional
|
| first_indexed | 2024-04-10T19:56:55Z |
| format | Article |
| id | doaj.art-3d0e7dd3784546598169948b3df92516 |
| institution | Directory Open Access Journal |
| issn | 0121-4772 2248-4337 |
| language | English |
| last_indexed | 2024-04-10T19:56:55Z |
| publishDate | 2021-02-01 |
| publisher | Universidad Nacional de Colombia |
| record_format | Article |
| series | Cuadernos de Economía |
| spelling | doaj.art-3d0e7dd3784546598169948b3df925162023-01-27T15:28:27ZengUniversidad Nacional de ColombiaCuadernos de Economía0121-47722248-43372021-02-01408210.15446/cuadecon.v40n82.79400Extreme volatility dependence in exchange ratesMagnolia Miriam Sosa Castro0Christian Bucio Pacheco1Héctor Eduardo Díaz Rodríguez2Universidad Autónoma Metropolitana-IztapalapaUniversidad Autónoma del Estado de MéxicoFacultad de Economía Universidad Nacional Autónoma de México. UNAM 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 conditional https://revistas.unal.edu.co/index.php/ceconomia/article/view/79400Exchange RatesVolatility ModelingTail Dependence |
| spellingShingle | Magnolia Miriam Sosa Castro Christian Bucio Pacheco Héctor Eduardo Díaz Rodríguez Extreme volatility dependence in exchange rates Cuadernos de Economía Exchange Rates Volatility Modeling Tail Dependence |
| title | Extreme volatility dependence in exchange rates |
| title_full | Extreme volatility dependence in exchange rates |
| title_fullStr | Extreme volatility dependence in exchange rates |
| title_full_unstemmed | Extreme volatility dependence in exchange rates |
| title_short | Extreme volatility dependence in exchange rates |
| title_sort | extreme volatility dependence in exchange rates |
| topic | Exchange Rates Volatility Modeling Tail Dependence |
| url | https://revistas.unal.edu.co/index.php/ceconomia/article/view/79400 |
| work_keys_str_mv | AT magnoliamiriamsosacastro extremevolatilitydependenceinexchangerates AT christianbuciopacheco extremevolatilitydependenceinexchangerates AT hectoreduardodiazrodriguez extremevolatilitydependenceinexchangerates |