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Global Volatility and Forex Returns in East Asia

✍ Scribed by Sanjay Kalra

Book ID
111084653
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
869 KB
Volume
11
Category
Article
ISSN
1369-412X

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Market interdependence and financial vol
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## Abstract In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the