Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model

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Unpublished conference/Abstract (Scientific congresses and symposiums)

Ulm, Maren; Hambuckers, Julien

2023 • Annual Conference of the International Association for Applied Econometrics (IAAE)

Peer reviewed

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https://hdl.handle.net/2268/304931

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Disciplines :

Quantitative methods in economics & management

Author, co-author :

Ulm, Maren ; Université de Liège - ULiège > HEC Liège Research

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché

Language :

English

Title :

Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model

Publication date :

28 June 2023

Event name :

Annual Conference of the International Association for Applied Econometrics (IAAE)

Event organizer :

International Association for Applied Econometrics (IAAE)

Event place :

Oslo, Norway

Event date :

du 27 juin au 30 juin 2023

Audience :

International

Peer reviewed :

Peer reviewed

Available on ORBi :

since 05 July 2023

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