Exchange return co-movements and volatility spillovers before and after the introduction of euro

Journal of International Financial Markets, Institutions and Money

Volumn 22, Issue 5, 2012, Pages 1091-1109

  Antonakakis, Nikolaos ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

Exchange returns co movement; Multivariate GARCH; VAR; Variance decomposition; Volatility spillover

Indexed keywords

EID: 84864039088     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2012.05.009     Document Type: Article

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