Price and volatility spillovers between interest rate and exchange value of the US dollar

Global Finance Journal

Volumn 12, Issue 1, 2001, Pages 95-107

  So, Raymond W ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Asymmetric volatility spillovers; EGARCH; Exchange and interest rates; F30; G15

Indexed keywords

EID: 0042872755     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1044-0283(01)00021-7     Document Type: Article

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