Econometric modeling of euro, British pound and Japanese yen exchange rates against dollar: Multivariate GARCH approach
This paper examines the comparative volatility of major world currencies (the euro, British pound and Japanese yen) against the US dollar. The multivariate diagonal GARCH BEKK model was applied in the study. The conditional correlation was estimated by this model, as well as the conditional variance...
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Format: | Article |
Language: | English |
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Association of Serbian Banks
2017-01-01
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Series: | Bankarstvo |
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Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2017/1451-43541704022K.pdf |