کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003206 | 937556 | 2008 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The euro and pound volatility dynamics: An investigation from conditional jump process
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The euro and pound volatility dynamics: An investigation from conditional jump process The euro and pound volatility dynamics: An investigation from conditional jump process](/preview/png/1003206.png)
چکیده انگلیسی
This paper investigates the variations of the volatility of euro and pound after the introduction of euro. A GARJI model is employed to analyze the impact of the news arrivals on the exchange rate volatility. The results are robust to the data-splitting schemes and indicate: (1) the conditional variance of euro is larger than that of pound. (2) The stability of euro exchange rates has made progress in recent years, which is accomplished by the decreases in the jump innovations. This paper supports the arguments on the determinants of exchange rate stability claimed by Mundell (1998) and Mussa (2000).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 22, Issue 2, June 2008, Pages 193-207
Journal: Research in International Business and Finance - Volume 22, Issue 2, June 2008, Pages 193-207
نویسندگان
Jer-Yuh Wan, Chung-Wei Kao,