Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures

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Colavecchio , Roberta; Funke, Michael;
  • Subject: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; multivariate GARCH models | China, renminbi, Asia, forward exchange rates, non-deliverable forward market, multivariate GARCH models
    • jel: jel:F31 | jel:C22 | jel:F36

This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional corr... View more
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