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Volatility spillovers in East European black-market exchange rates

โœ Scribed by Alan E.H Speight; David G McMillan


Book ID
117427669
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
100 KB
Volume
20
Category
Article
ISSN
0261-5606

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Non-Linearities in East European Black-M
โœ David A. Peel; Alan E. H. Speight ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 284 KB

This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful fo