文章基本信息

标题：Extreme volatility dependence in exchange rates
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作者：Magnolia Miriam Sosa Castro ; Christian Bucio Pacheco ; Héctor Eduardo Díaz Rodríguez 等
期刊名称：Cuadernos de Economía
印刷版ISSN：2248-4337
出版年度：2021
卷号：40
期号：82
页码：25-56
DOI：10.15446/cuadecon.v40n82.79400
出版社：Universidad Nacional de Colombia - Facultad de Ciencias Económicas
摘要：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.
关键词：Exchange rates; volatility modelling; tail dependence