Time-Varying Currency Betas : Evidence from Developed and Emerging Markets
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- Horst Entorf & Gösta Jamin, 2007.
"German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs,"
German Economic Review, Verein für Socialpolitik, vol. 8(3), pages 344-374, August.
- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 20147, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Entorf & Jamin, 2005. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," International Finance 0508005, University Library of Munich, Germany.
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- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Darmstadt Discussion Papers in Economics 126, Darmstadt University of Technology, Department of Law and Economics.
- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77452, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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Keywords
time-varying currency betas; multivariate GARCH-M models; international CAPM; fractionally integrated processes; stochastic dominance;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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