Modelling the Dependence Structure of MUR/USD and MUR/INR Exchange Rates using Copula American Dollar (USD) and Indian Rupee (INR) play an important role in Mauritian economy. It is important to model the pattern of dependence in their co-mo... V Jowaheer,N.Z.B. Ameerudden - 《Internati...
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...