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International foreign exchange agreements and nominal exchange rate volatility: a GARCH application

โœ Scribed by In-Bong Kang


Book ID
117717640
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
131 KB
Volume
10
Category
Article
ISSN
1062-9408

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## Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion