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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F12%3A%230001716%21RIV13-MSM-19520___
rdf:type
n5:Vysledek skos:Concept
dcterms:description
The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly in the US dollar exchange rate. We can conclude that appreciation changes of the exchange rate stimulate subsequent volatility to increase more than depreciation changes. Likewise, appreciation-side deviations from the target exchange rate increase the exchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis. The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly in the US dollar exchange rate. We can conclude that appreciation changes of the exchange rate stimulate subsequent volatility to increase more than depreciation changes. Likewise, appreciation-side deviations from the target exchange rate increase the exchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis.
dcterms:title
Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
skos:prefLabel
Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
skos:notation
RIV/47813059:19520/12:#0001716!RIV13-MSM-19520___
n5:predkladatel
n18:orjk%3A19520
n3:aktivita
n7:I
n3:aktivity
I
n3:dodaniDat
n8:2013
n3:domaciTvurceVysledku
n10:9301623
n3:druhVysledku
n13:D
n3:duvernostUdaju
n20:S
n3:entitaPredkladatele
n16:predkladatel
n3:idSjednocenehoVysledku
135416
n3:idVysledku
RIV/47813059:19520/12:#0001716
n3:jazykVysledku
n14:eng
n3:klicovaSlova
exchange rate volatility, asymmetry, financial crisis, TARCH model
n3:klicoveSlovo
n11:asymmetry n11:financial%20crisis n11:TARCH%20model n11:exchange%20rate%20volatility
n3:kontrolniKodProRIV
[24B10B8F5124]
n3:mistoKonaniAkce
Ostrava
n3:mistoVydani
Karviná
n3:nazevZdroje
PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING
n3:obor
n4:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n8:2012
n3:tvurceVysledku
Stavárek, Daniel
n3:typAkce
n17:WRD
n3:wos
000309369700038
n3:zahajeniAkce
2011-01-01+01:00
s:numberOfPages
7
n12:hasPublisher
Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
n21:isbn
978-80-7248-753-0
n19:organizacniJednotka
19520