Volatility Spillover Effect from Energy Markets to Foreign Exchange Markets: The Case of Central and Eastern European and Eurasian Countries
Skúmanie nelineárneho prenosu rizika z trhov ropy a zemného plynu na devízové trhy piatich dovozcov energie a jedného významného vývozcu energie. Podmienená volatilita sa rozdeľuje na prechodnú (krátkodobú) a trvalú (dlhodobú) časť a potom sú tieto volatility zakomponované do prepracovaného robust...
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