The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
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More about this item
Keywords
Currency markets; quantitative easing; GARCH; dynamic conditional correlation; quantile regression.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2014-11-07 (Central Banking)
- NEP-MON-2014-11-07 (Monetary Economics)
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