Contagion Effects in Forward and Spot Foreign Exchange Markets
| dc.contributor.author | Kılıç, Erdem | |
| dc.date.accessioned | 2019-02-24T00:32:42Z | |
| dc.date.available | 2019-02-24T00:32:42Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | Contagion effects in the Forex Markets are estimated by the help of a bivariate Hawkes diffusion model. Contagion occurs in most cases beyond volatility. n this regard, asymmetry in these expectations is involved. The asymmetry depends on each currency pair. Internal market dynamics, as well as the transmission of country-specific dynamics are important features in determining the exact impact of the asymmetry on the evolution of these parameters. | |
| dc.identifier.citation | Kilic, E. (2017). Contagion effects in forward and spot foreign exchange markets. IAAE (International Association of Applied Econometrics) | |
| dc.identifier.uri | https://hdl.handle.net/20.500.11779/536 | |
| dc.language.iso | en | |
| dc.relation.ispartof | IAAE (International Association of Applied Econometrics) | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.subject | Forex Markets | |
| dc.subject | Contagion | |
| dc.subject | Time Series Analysis | |
| dc.title | Contagion Effects in Forward and Spot Foreign Exchange Markets | |
| dc.type | Conference Object | |
| dspace.entity.type | Publication | |
| gdc.author.id | Erdem Kılıç / 0000-0003-1917-2227 | |
| gdc.author.institutional | Kılıç, Erdem | |
| gdc.author.institutional | Kılıç, Erdem | |
| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::conference output | |
| gdc.description.department | İİSBF, Ekonomi Bölümü | |
| gdc.description.publicationcategory | Konferans Öğesi - Uluslararası - Kurum Öğretim Elemanı | |
| gdc.description.scopusquality | N/A | |
| gdc.description.wosquality | N/A | |
| gdc.publishedmonth | Nisan | |
| gdc.wos.publishedmonth | Nisan | |
| gdc.wos.yokperiod | YÖK-2016-17 | |
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