×
Suggest this Article to:
TOP INDEXERS
Public Article
-
verified
Foreign exchange market contagion: evidence of DCC and DECO Multivariate GARCH Models
ISSN: 2602 - 6627
Publisher: author
Foreign exchange market contagion: evidence of DCC and DECO Multivariate GARCH Models
Indexed in
Business and Management
ARTICLE-FACTOR
1.3
Article Basics Score: 2
Article Transparency Score: 3
Article Operation Score: 3
Article Articles Score: 3
Article Accessibility Score: 3
SUBMIT PAPER ASK QUESTION
International Category Code (ICC):
ICC-0502
Publisher: مجلة البØوث ÙÙŠ العلوم المالية ÙˆØ..
International Journal Address (IAA):
IAA.ZONE/260265126627
eISSN
:
2602 - 6627
VALID
ISSN Validator
Abstract
The goal of this study is to measure contagion phenomenon between foreign exchange markets during Subprime crisis & Euro-Zone crisis using daily data from 03/01/2005 to 03/09/2015 for twenty selected countries. In our analysis, we use the FMI classification of exchange rate arrangements for each estimation period. We also separated an estimation period in two period’s crises. estimate into two crises periods. Firstly, the US Subprime crisis period that covers the period from 17/07/2007 through 31/08/2009 (See Dungey, 2009, Celik, 2012), and secondly, the period span of the Euro-zone crisis that goes from 19.11.2009 to 31.12.2012 (See Wasim. A et al 2013).The model we use in this study is a Dynamic Equicorrelation GARCH model of Engle and Kelly (2012) and DCCGARCH model of Engle (2002). In summary, we conclude that all exchange rates returns series are influenced by the contagion effects come from USA and euro area over 2007-2012 per...
