00000nam##2200000za#4500 9.615320 CaOODSP 20211126112847 ta 150406|2000||||xxc||||| f|0| 0 eng|d 0-662-29250-2 1192-5434 CaOODSP eng n-cn--- FB3-2/100-16E Bank of Canada. Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. Ottawa - Ontario : Bank of Canada 2000. v, 42p. : graphs, references, tables ; 28 cm. Working paper 1192-5434 2000-16 "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. 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 Résumés en français Softcover 00-34 2000-08-25 Markets gcpds Exchange rates gcpds Interest rates gcpds Ebrahim, Shafiq K. Volatility transmission between foreign exchange and money markets / (CaOODSP)9.571558 Working paper, 1192-5434 2000-16 (CaOODSP)9.514622