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- W2338993963 abstract "This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes in bilateral exchange rate between the US dollar and the local currency of each country. It is found that currency betas are more volatile than those of the world market betas. Currency betas in emerging markets are more volatile than those in developed markets. Moreover, we find evidence of long-memory in currency betas. The usefulness of time-varying currency betas are illustrated by two applications." @default.
- W2338993963 created "2016-06-24" @default.
- W2338993963 creator A5021716781 @default.
- W2338993963 date "2009-01-01" @default.
- W2338993963 modified "2023-09-27" @default.
- W2338993963 title "Singapore Centre for Applied and Policy Economics" @default.
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