Global Volatility and Forex Returns in East Asia
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References listed on IDEAS
- John Cairns & Corrinne Ho & Robert McCauley, 2007. "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
- Bollerslev, Tim, 1986.
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- Xiaojing Zhang & Tao Sun, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR; Evidence from Stock Markets," IMF Working Papers 09/166, International Monetary Fund.
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KeywordsEast Asia; Exchange rates; Economic models; Financial stability; Financial crisis; Foreign exchange; Forex returns; GARCH models; volatility; exchange rate; standard deviation; statistics; heteroscedasticity;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-07 (All new papers)
- NEP-FMK-2008-10-07 (Financial Markets)
- NEP-IFN-2008-10-07 (International Finance)
- NEP-SEA-2008-10-07 (South East Asia)
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