Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
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More about this item
Keywords
nonlinear filtering; multivariate GARCH; spillovers;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F31 - International Economics - - International Finance - - - Foreign Exchange
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