Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: the Asian Crisis vs. the Global Crisis
This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this pa...
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| Format: | Article |
| Language: | English |
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Korea Institute for International Economic Policy
2014-03-01
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| Series: | East Asian Economic Review |
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| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.1.273 |