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05-044/4 - The Euro Introduction and Non-Euro Currencies


  • Authors
    Dick van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam; Haris Munandar, Faculty of Economics, Erasmus Universiteit Rotterdam; Christian M. Hafner, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    May 12, 2005
  • Keywords
    Exchange rates; multivariate GARCH; dynamic conditional correlation; structural breaks
  • JEL
    C32; F31; F36; G15