Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim.: FB3-2/100-16E-PDF
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche Mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.--Abstract
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| Title | Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Other formats | Physical text-[English] |
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| Description | 53p.graphs, references, tables |
| ISSN | 1701-9397 |
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