Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach
This empirical analysis endeavors to examine the return volatility, co volatility and spillover impact of Australian dollar, Canadian dollar, Japanese yen, and Swiss franc in pertinent Asian economies such as India, Malaysia, and Singapore, by using the variance decomposition and GARCH-DCC technique...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2021-12-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1569.pdf
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