New estimates of time-varying currency betas: A trivariate BEKK approach
Year of publication: |
2014
|
---|---|
Authors: | Jayasinghe, Prabhath ; Tsui, Albert K. ; Zhang, Zhaoyong |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 42.2014, C, p. 128-139
|
Publisher: |
Elsevier |
Subject: | Time-varying currency betas | Multivariate GARCH-M models | International CAPM | Fractionally integrated processes | Stochastic dominance |
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