Since 2014
Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach
Journal of Quantitative Methods
View Archive Info| Field | Value | |
| Title |
Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach
|
|
| Creator |
Tsiaras, Konstantinos
|
|
| Description |
This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX market. The results are of interest to policymakers who provide regulations for the futures FOREX markets. JEL Classification Codes: C58, C61, G11, G15 |
|
| Publisher |
Department of Quantitative Methods, School of Business and Economics, University of Management and Technology, Lahore Pakistan
|
|
| Date |
2020-02-28
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
https://ojs.umt.edu.pk/index.php/jqm/article/view/73
10.29145/2020/jqm/040102 |
|
| Source |
Journal of Quantitative Methods; Vol 4 No 1 (2020): February; 1-1
2522-2260 2522-2252 |
|
| Language |
eng
|
|
| Relation |
https://ojs.umt.edu.pk/index.php/jqm/article/view/73/143
|
|
| Rights |
Copyright (c) 2020 Konstantinos Tsiaras
http://creativecommons.org/licenses/by/4.0 |
|