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Keywords: Multivariate GARCH
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2024) 50 (8): 1444–1461.
Published: 30 April 2024
... to its interest rate and world market risk exposures. Originality/value The study utilizes the MGARCH methodology, which has not been fully exploited in the exchange rate exposure literature. Multivariate GARCH Asymmetric exchange rate exposure Exchange rate exposure puzzle Chu-Sheng...
