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Network modelling

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Risk and Return Spillovers in a Global Model of the Foreign Exchange Network

Matthew Greenwood-Nimmo, Daan Steenkamp and Rossouw van Jaarsveld
We developed a network model to capture the dynamic interactions among foreign exchange returns and realised risk measures among 20 developed and emerging market currencies, including the rand (ZAR). We demonstrate how this framework can be used to assess the sensitivity of a given currency to...
Aug 2021
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