Cross currencies volatility transmission.
The purpose of this research report is to investigate the process of volatility transmission across the world's major currencies and the vector autoregressive (VAR) model is utilized to analyses the all-round dynamics.
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7141 |
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| Institution: | Nanyang Technological University |
| Language: | English |