Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193843 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] Economic Review: Journal of Economics and Business [ISSN:] 1512-8962 [Volume:] 13 [Issue:] 1 [Publisher:] University of Tuzla, Faculty of Economics [Place:] Tuzla [Year:] 2015 [Pages:] 21-28
Verlag: 
University of Tuzla, Faculty of Economics, Tuzla
Zusammenfassung: 
Since the early 1990s, Albania has adopted the flexible exchange rate regime. A vast empirical literature on exchange rate is focused on modeling its volatility. In contrast, this paper provides empirical analysis regarding the news impact on the EUR/ALL exchange rate volatility, using TGARCH model. We argue that the series has three important features of asset return proposed by the theory: unpredictability, fat tails and volatility clustering. The results show the existence and importance of news impact on exchange rate return.
Schlagwörter: 
Albanian lek
EUR/ALL
news impact
TGARCH
JEL: 
F31
C58
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.