{"title":"汇率极度波动依赖","authors":"Magnolia Miriam Sosa Castro, Christian Bucio Pacheco, Héctor Eduardo Díaz Rodríguez","doi":"10.15446/cuadecon.v40n82.79400","DOIUrl":null,"url":null,"abstract":"This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional","PeriodicalId":42391,"journal":{"name":"Cuadernos de Economia-Spain","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Extreme volatility dependence in exchange rates\",\"authors\":\"Magnolia Miriam Sosa Castro, Christian Bucio Pacheco, Héctor Eduardo Díaz Rodríguez\",\"doi\":\"10.15446/cuadecon.v40n82.79400\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional\",\"PeriodicalId\":42391,\"journal\":{\"name\":\"Cuadernos de Economia-Spain\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Cuadernos de Economia-Spain\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.15446/cuadecon.v40n82.79400\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"0\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cuadernos de Economia-Spain","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15446/cuadecon.v40n82.79400","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional
期刊介绍：
Cuadernos de Economía - Spanish Journal of Economics and Finance es una publicación cuatrimestral abierta a la publicación de artículos científicos y de referencia relativos a un gran número de materias relacionadas con el análisis económico, tanto desde una perspectiva teórica como aplicada. Cuadernos de Economía está editada por los departamentos de Teoría Económica de la Universidad Autónoma de Madrid y de la Universidad de Barcelona, y forma parte desde 2011 del grupo de revistas editadas por ELSEVIER. Cuadernos de Economía es una de las revistas españolas más citada en el ámbito de la Economía. Cuadernos de Economía acepta artículos en español y en inglés.
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