Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
Includes bibliographical references. === This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest tha...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/10845 |