TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries

Autor:	Akbulut Nesrin, Ari Yakup
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	garman-klass-yang-zhang forex markets non-euro area pairwise connectedness index tvp-var frequency connectedness volatility transmission c11 c22 e30 f31 g00 Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Folia Oeconomica Stetinensia, Vol 23, Iss 2, Pp 1-23 (2023)
Druh dokumentu:	article
ISSN:	1898-0198 01042858
DOI:	10.2478/foli-2023-0016
Popis:	The main purpose of monetary integration between EU countries is to eliminate excessive fluctuations in exchange rates. High volatility in exchange rates can cause various negative economic and financial effects, especially during periods of economic shocks. In addition, estimating the volatility between currencies and their interactions is of great importance for effective portfolio management.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/acff1680d0104285889af951ce0cf319 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF