Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11779/536
Title: Contagion Effects in Forward and Spot Foreign Exchange Markets
Authors: Kılıç, Erdem
Keywords: Forex Markets
Contagion
Time Series Analysis
Source: Kilic, E. (2017). Contagion effects in forward and spot foreign exchange markets. IAAE (International Association of Applied Econometrics)
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.
URI: https://hdl.handle.net/20.500.11779/536
Appears in Collections:Ekonomi Bölümü Koleksiyonu

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