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Asymmetric volatility spillovers in deutsche mark exchange rates · Study

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ArticleAsymmetric volatility spillovers in deutsche mark exchange rates

Nikiforos T. Laopodis1998

Article1998

Asymmetric volatility spillovers in deutsche mark exchange rates

Nikiforos T. Laopodis

44 citations·0/0 files stored·Journal of Multinational Financial Management

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1986Modelling the persistence of conditional variances 1992No news is good news 1988The advantage of tying one's hands 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 2002The Message in Daily Exchange Rates

Cited by

2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data 2021Time-frequency information transmission among financial markets: evidence from implied volatility 2018Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

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Details

Year1998

Typearticle

Published1998-11-01

VenueJournal of Multinational Financial Management

ISSN-L1042-444X

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1042-444x(98)00040-1

openalex_workW2013634270

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