In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rate... M Kumar - 《International Journal of Economic Sciences & Applied Research》 被引量: 10发表: 2010年 ...
This article examines interlinkages between four major exchange rates, namely, USD€"INR, EUR€"INR, GBP€"INR and JPY€"INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH€"BEKK framework. In addition, we analyse the impact of RBI intervention on...