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Exchange rate volatility across financial crises · Study

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ArticleExchange rate volatility across financial crises

Virginie Coudert2011

Article2011

Exchange rate volatility across financial crises

Virginie Coudert · Cécile Couharde · Valérie Mignon

120 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2000Fear of Floating 2004The Modern History of Exchange Rate Arrangements: A Reinterpretation 2002Fear of Floating 1988Testing Linearity Against Smooth Transition Autoregressive Models 2000On crises, contagion, and confusion

Cited by

2014The global financial crisis: An analysis of the spillover effects on African stock markets 2016Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises 2020Comparing COVID-19 with the GFC: A shockwave analysis of currency markets 2023Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war 2012The “forward premium puzzle” and the sovereign default risk

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Details

Year2011

Typearticle

Published2011-04-20

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations120

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

Identifiers

doi10.1016/j.jbankfin.2011.04.003

openalex_workW2053060438

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2018

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