Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach

@inproceedings{Tsiaras2020ContagionIF,
  title={Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach},
  author={Konstantinos Tsiaras},
  year={2020},
  url={https://api.semanticscholar.org/CorpusID:219798418}
}
  • K. Tsiaras
  • Published 28 February 2020
  • Economics, Business
This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX… 
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