Cross currencies volatility transmission.
Cheng, Melvin Wei Ming.
Lim, Belinda Ping Ping.
Yeo, Kee Wei.
Date of Issue2002
College of Business (Nanyang Business School)
The purpose of this research report is to investigate the process of volatility transmission across the world's major currencies and the vector autoregressive (VAR) model is utilized to analyses the all-round dynamics.
Nanyang Technological University