An Empirical Analysis Of The U.s. Dollar, Yen And ...

Next, based on the DCC-MEGARCH(1,1)-M model, the price spillover effect has been found in the USD–RMB exchange rate model, but not in the other two exchange rate models. The cross-section volatility spillover effects are also significant at the USD and Yen to RMB exchange rate markets except for the Eurodollar exchange rate market. ................
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