Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas
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DOI: 10.1016/j.ecosys.2019.100717
Abstract: Abstract This study uses asymmetric DCC-GARCH models and copula functions to study exchange rate contagion in a group of twelve Asia-Pacific countries. Using daily data between November 1991 and March 2017, we show that extreme… read more here.
Keywords: exchange; asymmetric dcc; exchange rate; contagion ... See more keywords