Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets

Research in International Business and Finance

Volumn 24, Issue 2, 2010, Pages 158-171

  Kitamura, Yoshihiro ^a  

^a UNIVERSITY OF TOYAMA   (Japan)

Author keywords

High frequency data; Information; Interdependence; VC MV GARCH; Volatility spillover

Indexed keywords

EID: 77649339780     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2009.11.002     Document Type: Article

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