Abstract:This study examines the interdependence of US dollar exchange rates expressed in five emerging currencies. Focusing on different phases of the global financial and European sovereign debt crises, the aim of this paper is to examine how the dynamics of correlations between emerging exchange markets evolved from January 04, 2000 to July 11, 2014. To this end, we adopt a dynamic conditional correlation model into a multivariate Fractionally Integrated Asymmetric Power ARCH framework, which accounts for long memor… Show more
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