Modeling time-varying currency betas: New evidence from the selected markets

• Main Authors: Jayasinghe, P., Tsui, A.K., Zhang, Z.Y.
• 其他作者: ECONOMICS
• 格式: Conference or Workshop Item
• 出版: 2014
• 主題: Fractionally integrated processes; International CAPM; Multivariate GARCH-M models; Stochastic dominance; Time-varying currency betas
• 在線閱讀: http://scholarbank.nus.edu.sg/handle/10635/52152

MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty