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Financial crises and dynamic linkages among international currencies · Study

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ArticleFinancial crises and dynamic linkages among international currencies

Dimitrios Dimitriou2013

OA

Articlegreen2013

Financial crises and dynamic linkages among international currencies

Dimitrios Dimitriou · Dimitris F. Kenourgios

92 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*1995Log-Periodogram Regression of Time Series with Long Range Dependence 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

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2013Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets 2012Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates 2016Financial crises and dynamic linkages across international stock and currency markets 2020Dynamic exchange rate dependences: The effect of the U.S.-China trade war 2016Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets

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Year2013

Typearticle

Published2013-07-24

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations92

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2013.07.008

openalex_workW2011346135

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2017Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets

2014Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

2018Exchange rate volatility and India's cross-border trade: A pooled mean group and nonlinear cointegration approach