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008	150406|2000||||xxc|||||     f|0| 0 eng|d
020	|z0-662-29250-2
022	|a1192-5434
040	|aCaOODSP|beng
043	|an-cn---
086	1 |aFB3-2/100-16E
110	2 |aBank of Canada.
245	10|aVolatility transmission between foreign exchange and money markets / |cby Shafiq K. Ebrahim.
260	|aOttawa - Ontario : |bBank of Canada |c2000.
300	|av, 42p. : |bgraphs, references, tables ; |c28 cm.
490	1 |aWorking paper|x1192-5434|v2000-16
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.
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
546	|aRésumés en français
563	|aSoftcover
590	|a00-34|b2000-08-25
690	07|aMarkets|2gcpds
690	07|aExchange rates|2gcpds
690	07|aInterest rates|2gcpds
720	1 |aEbrahim, Shafiq K.
776	0#|tVolatility transmission between foreign exchange and money markets / |w(CaOODSP)9.571558
830	#0|aWorking paper,|x1192-5434|v2000-16|w(CaOODSP)9.514622