Volatility dynamics in foreign exchange rates: Further evidence from Malaysian ringgit and Singapore dollar

Volatility dynamics in foreign exchange rates: Further evidence from Malaysian ringgit and Singapore dollar

MODSIM05 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings

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Bibliographic Details
Main Authors: Ho, K.-Y., Tsui, A.K.
Other Authors: ECONOMICS
Format: Conference or Workshop Item
Published: 2014
Subjects:
Bivariate asymmetric GARCH
Exchange rate volatility
Fractional integration
Long memory
Varying conditional correlations
Online Access:http://scholarbank.nus.edu.sg/handle/10635/52156
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/52156

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