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• W2126024909 abstract "This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes." @default.
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• W2126024909 date "2007-01-01" @default.
• W2126024909 modified "2023-09-25" @default.
• W2126024909 title "Volatility Dependence Across Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures Markets" @default.
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• W2126024909 doi "https://doi.org/10.2139/ssrn.1010586" @default.
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