Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality
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- Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
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More about this item
Keywordseuro exchange rates; common volatility; co-movement; correlation; multivariate GARCH; volatility dynamics; correlations; volatility spillovers; commonality; international diversification.;
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