Foreign Exchange Market Volatility in Southeast Asia

被引：1

作者：

Peijie Wang

Ping Wang

机构：

[1] UMIST,School of Management

[2] Middlesex University,School of Economics

来源：

Asia-Pacific Financial Markets | 1999年 / 6卷 / 3期

关键词：

foreign exchange rate; time-varying volatility; variance simulation; volatility transmission;

D O I：

10.1023/A:1010024005469

中图分类号：

学科分类号：

摘要：

The time-varying volatility and volatility transmission in Asian foreign exchange markets are investigated in this paper. It has been found that the time-varying volatility and volatility transmission are all prominent in these markets. Moreover, variance simulation is carried out and the structure of covariance matrices examined, revealing the characteristics of Asian foreign exchange markets and offering explanations to the findings.

引用

页码：235 / 252

页数：17

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