Dynamic Conditional Correlation, Probability Distribution, Co-movement and Spillover in Tokyo, London and New York Yen/Dollar FX Markets
碩士 === 中原大學 === 國際貿易研究所 === 94 === This work investigates how volatility comovement and spillover effects interact with each other in Yen/Dollar FX markets of Tokyo, London, and New York. Using spot rate intraday returns from 1994 to 2003, it is found that there exists volatility comovement and spil...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53873284278406613306 |