@article{ART002073638},
author={Yoon Byung Jo},
title={Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2015},
volume={22},
number={4},
pages={191-214},
doi={10.18107/japs.2015.22.4.007}
TY - JOUR
AU - Yoon Byung Jo
TI - Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets
JO - Journal of Asia-Pacific Studies
PY - 2015
VL - 22
IS - 4
PB - Institute of Global Affairs
SP - 191
EP - 214
SN - 1225-8539
AB - This paper tries to estimate the dynamic conditional correlation(DCC) model with GJR in order to find asymmetric, heteroscedasticity and time varying correlations in Asian NDF(Non-Deliverable Forward) markets. Liquid NDF markets could serve international portfolio investors by affording them an otherwise unavailable means to hedge foreign exchange risk. Asia’s NDF turnover accounts for the overwhelming majority of global NDF turnover.
Using Dollar Index and seven major Asian NDF(1M) rates such as Korea, China, India, Indonesia, Malaysia, Philippines, Taiwan from 11/3/2005 to 6/18/2015, this study finds the evidence time-varying correlations in addition to the asymmetric. According to the main estimated results of this paper, NDF market integration among Asian countries seems to have been increasing gradually since Quantitative Easing.
KW - Dollar Index;Non-Deliverable Forward;DCC;Time-Varying Correlation;GJR
DO - 10.18107/japs.2015.22.4.007
ER -
Yoon Byung Jo. (2015). Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets. Journal of Asia-Pacific Studies, 22(4), 191-214.
Yoon Byung Jo. 2015, "Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets", Journal of Asia-Pacific Studies, vol.22, no.4 pp.191-214. Available from: doi:10.18107/japs.2015.22.4.007
Yoon Byung Jo "Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets" Journal of Asia-Pacific Studies 22.4 pp.191-214 (2015) : 191.
Yoon Byung Jo. Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets. 2015; 22(4), 191-214. Available from: doi:10.18107/japs.2015.22.4.007
Yoon Byung Jo. "Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets" Journal of Asia-Pacific Studies 22, no.4 (2015) : 191-214.doi: 10.18107/japs.2015.22.4.007
Yoon Byung Jo. Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets. Journal of Asia-Pacific Studies, 22(4), 191-214. doi: 10.18107/japs.2015.22.4.007
Yoon Byung Jo. Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets. Journal of Asia-Pacific Studies. 2015; 22(4) 191-214. doi: 10.18107/japs.2015.22.4.007
Yoon Byung Jo. Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets. 2015; 22(4), 191-214. Available from: doi:10.18107/japs.2015.22.4.007
Yoon Byung Jo. "Estimating Time-Varying Correlations Between Dollar Index and Non-Deliverable Forward in Asian Markets" Journal of Asia-Pacific Studies 22, no.4 (2015) : 191-214.doi: 10.18107/japs.2015.22.4.007
