Contagion Effects in Forward and Spot Foreign Exchange Markets

Kılıç, Erdem

Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11779/536

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DC Field	Value	Language
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.identifier.citation	Kilic, E. (2017). Contagion effects in forward and spot foreign exchange markets. IAAE (International Association of Applied Econometrics)	en_US
dc.identifier.uri	https://hdl.handle.net/20.500.11779/536	-
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.	en_US
dc.language.iso	en	en_US
dc.relation.ispartof	IAAE (International Association of Applied Econometrics)	en_US
dc.rights	info:eu-repo/semantics/closedAccess	en_US
dc.subject	Forex Markets	en_US
dc.subject	Contagion	en_US
dc.subject	Time Series Analysis	en_US
dc.title	Contagion Effects in Forward and Spot Foreign Exchange Markets	en_US
dc.type	Conference Object	en_US
dc.authorid	Erdem Kılıç / 0000-0003-1917-2227	-
dc.relation.publicationcategory	Konferans Öğesi - Uluslararası - Kurum Öğretim Elemanı	en_US
dc.department	İİSBF, Ekonomi Bölümü	en_US
dc.institutionauthor	Kılıç, Erdem	-
item.grantfulltext	open	-
item.fulltext	With Fulltext	-
item.languageiso639-1	en	-
item.openairetype	Conference Object	-
item.openairecristype	http://purl.org/coar/resource_type/c_18cf	-
item.cerifentitytype	Publications	-
Appears in Collections:	Ekonomi Bölümü Koleksiyonu