The dynamics of exchange rate volatility: A panel VAR approach

Journal of International Financial Markets, Institutions and Money

Volumn 33, Issue 1, 2014, Pages 1-27

  Grossmann, Axel ^a   Love, Inessa ^b   Orlov, Alexei G ^c  

^a GEORGIA SOUTHERN UNIVERSITY   (United States)

^b UNIVERSITY OF HAWAII   (United States)

^c RADFORD UNIVERSITY   (United States)

Author keywords

Exchange rate volatility; Financial variables; High frequency components of volatility; Panel VAR estimation and simulation; Spectral analysis

Indexed keywords

EID: 84905683746     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2014.07.008     Document Type: Article

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