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.
- Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
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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