Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47039
DC FieldValueLanguage
dc.contributor.authorPérez Rodríguez, Jorge Vicenteen_US
dc.date.accessioned2018-11-23T10:21:19Z-
dc.date.available2018-11-23T10:21:19Z-
dc.date.issued2006en_US
dc.identifier.issn0197-4254en_US
dc.identifier.urihttp://hdl.handle.net/10553/47039-
dc.description.abstractThis paper discusses the interdependent effects of conditional volatilities in returns of the Euro and other major currencies against U.S. dollar exchange rates (spot rates) since the launch of the Euro, using, for this purpose, the daily data and dynamic conditional correlation (DCC)-GARCH model with country-specific effects. The following conclusions are drawn: there are volatility spillovers (contemporaneous and lagged) in the Euro, Yen, and British pound, the degree of the correlation is high between the Euro and British pound against the U.S. dollar, there is a very strong association between the ECB Euro reference rate (fixing rates) and U.S.-traded spot rates, and finally, the impulse-response of volatility (after the accession of new Member States to the European Union) rapidly diminishes in the spot markets, indicating a short-run dynamic effect.en_US
dc.languageengen_US
dc.publisher0197-4254
dc.relation.ispartofAtlantic Economic Journalen_US
dc.sourceAtlantic Economic Journal[ISSN 0197-4254],v. 34, p. 367-384en_US
dc.subject531008 Acuerdos monetarios internacionalesen_US
dc.subject.otherEuroen_US
dc.subject.otherDólaren_US
dc.titleThe Euro and other major currencies floating against the U.S. dollaren_US
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.doi10.1007/s11293-006-9042-x
dc.identifier.scopus33845221765-
dc.identifier.isi000422539600001
dc.contributor.authorscopusid56216749800-
dc.description.lastpage384-
dc.description.firstpage367-
dc.relation.volume34-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid1615612
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Perez-Rodriguez, JV
dc.date.coverdateDiciembre 2006
dc.identifier.ulpgces
dc.description.esciESCI
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-6738-9191-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNamePérez Rodríguez, Jorge Vicente-
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