Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors
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More about this item
Keywords
exchange rate exposure; asymmetric volatility spillovers; GARCH-type models; conditional correlation;All these keywords.
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
- 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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