أهمية استخدام الأساليب الكمية والنماذج الإحصائية في الأسواق المالية
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Date
2016
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جامعة المسيلة
Abstract
In this paper, we measure contagion phenomenon between foreign exchange markets during
Subprime crisis &Eurozone crisis using daily data from 03/01/2005 to 03/09/2015 for twenty
countries used different regimes exchange rate by employing DCC MGARCH model. In contrast,
we concluded of all exchange rates returns series influenced by the contagion effects come from
USA and euro area over 2007-2012 periods.
The main finding indicates that volatility persistence is higher correlation in the free
exchange rate than manager and beg exchange regimes.