Extreme volatility dependence in exchange rates

Extreme volatility dependence in exchange rates

This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model cond...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Cuadernos de economía (Bogotá, Colombia) Colombia), 2021, Vol.40 (82), p.25-56
Hauptverfasser: Sosa Castro, Magnolia Miriam, Bucio Pacheco, Christian, Díaz Rodríguez, Héctor Eduardo
Format: Artikel
Sprache:eng
Schlagworte:
Economics
Euro
Exchange Rates
Foreign exchange rates
Stochastic models
Tail Dependence
Volatility
Volatility Modeling
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional
ISSN:0121-4772
2248-4337
DOI:10.15446/cuadecon.v40n82.79400