Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach
How strongly are foreign exchange markets linked in terms of their similarities in long-run fluctuations? Are they cointegrating? To analyze such “comovements,” we present a time-varying cointegration model for the foreign exchange rates of the currencies of Canada, Japan, and the UK vis-à-vis the U...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-04-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/8/849 |