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| 02237nam##2200337za#4500 |
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| 001 | 9.571558 |
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| 003 | CaOODSP |
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| 005 | 20211126112844 |
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| 007 | cr ||||||||||| |
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| 008 | 150406|2000||||xxc|||||o f|0| 0 eng|d |
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| 022 | |a1701-9397 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/100-16E-PDF |
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| 110 | 2 |aBank of Canada. |
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| 245 | 10|aVolatility transmission between foreign exchange and money markets / |h[electronic resource]|cby Shafiq K. Ebrahim. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |cAugust 2000. |
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| 300 | |a53p.|bgraphs, references, tables |
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| 490 | 1 |aBank of Canada working paper|x1701-9397|v2000-16 |
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| 500 | |a"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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| 500 | |aThe ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. |
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| 520 | 3 |aThis 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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| 546 | |aRésumé en français. |
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| 590 | |a11-19-Supp|b2011-09-23 |
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| 690 | 07|aMarkets|2gcpds |
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| 690 | 07|aExchange rates|2gcpds |
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| 690 | 07|aInterest rates|2gcpds |
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| 720 | 1 |aEbrahim, Shafiq K. |
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| 776 | 0#|tVolatility transmission between foreign exchange and money markets / |w(CaOODSP)9.615320 |
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| 830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v2000-16|w(CaOODSP)9.504604 |
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| 856 | 40|ahttp://publications.gc.ca|qPDF|s539 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-100-16E.pdf|y2000-16 |
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