Volatility of exchange rates in selected new EU members: Evidence from daily data
نویسندگان
چکیده
منابع مشابه
Macroeconomic sources of foreign exchange risk in new EU members
We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. We derive the observable macroeconomic factors—consumption and inflation—using the stochastic discount factor (SDF) approach. The joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate GARCH-in-mean specification. Our findings ...
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ژورنال
عنوان ژورنال: Economic Systems
سال: 2008
ISSN: 0939-3625
DOI: 10.1016/j.ecosys.2007.09.004