Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets

Link:
Autor/in:
Erscheinungsjahr:
2009
Medientyp:
Text
Schlagworte:
  • Currency
  • Carry trade
  • Carry trades
  • Models
  • Risks
  • Finance
  • SWARCH models
  • Non-deliverable forward market
  • China
  • Currency
  • Carry trade
  • Carry trades
  • Models
  • Risks
  • Finance
Beschreibung:
  • This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes. © 2009 Elsevier Inc. All rights reserved.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH
Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/7cb088dd-6324-41ca-b811-5c728f9dce16