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Autore: |
Kalra Sanjay
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Titolo: |
Global volatility and forex returns in East Asia / / Sanjay Kalra
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Pubblicazione: | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
©2008 | |
Descrizione fisica: | 1 online resource (33 p.) |
Disciplina: | 332.456095 |
Soggetto topico: | Foreign exchange rates - East Asia |
Financial crises - East Asia | |
Soggetto genere / forma: | Electronic books. |
Note generali: | Description based upon print version of record. |
Nota di contenuto: | Contents; I. Introduction; II. Methodology and Data; III. GARCH Models of East Asian Daily Forex Returns; IV. Empirical Results; A. Sensitivity of Forex Returns to Mature Equity Market Volatility; B. Conditional and Unconditional Volatility of Forex Returns:; C. Subsamples; V. Robustness; VI. Conclusions; Figures; 1. VIX and VDAX Indices; 2. Exchange Rates; 3. Daily Forex Returns; 4. Daily Squared Forex Returns; 5. FIX_AR(2)-GARCH(1,1) Models: Residuals; 6. VIX AR(2)-GARCH(1,1) Models: Squared Residuals; 7. Daily Conditional and Unconditional Volatilities: 2001-07 |
8. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-03Q29. Daily Conditional and Unconditional Volatilities: VIX Models, 2003Q3-07; 10. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-07; Tables; 1. Daily Foreign Exchange Return: Summary Statistics; 2. VIX and VDAX Indices: Summary Statistics; 3. Exchange Rates and Volatility Indices: Augmented Dickey-Fuller Test Statistics; 4. VAR Lag Order Selection Criteria; 5. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-07; 6. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-03Q2 | |
7. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2003Q3-078. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-07; 9. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-03Q2; 10. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2003Q3-0; References | |
Titolo autorizzato: | Global volatility and forex returns in East Asia ![]() |
ISBN: | 1-4623-6386-5 |
1-4527-5412-8 | |
9786612841590 | |
1-282-84159-9 | |
1-4518-7066-3 | |
Formato: | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910463627103321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |