-
2
-
-
84952533519
-
The message in daily exchange rates: A conditional-variance tale
-
Baillie, R.T., Bollerslev, T., 1989. The message in daily exchange rates: a conditional-variance tale. Journal of Business and Economic Statistics 7 (3), 297-305.
-
(1989)
Journal of Business and Economic Statistics
, vol.7
, Issue.3
, pp. 297-305
-
-
Baillie, R.T.1
Bollerslev, T.2
-
3
-
-
0040485278
-
Fractionally integrated generalized autoregressive conditional heteroskedasticity
-
Baillie, R.T., Bollerslev, T., Mikkelsen, H.O., 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74, 3-30.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 3-30
-
-
Baillie, R.T.1
Bollerslev, T.2
Mikkelsen, H.O.3
-
5
-
-
0031537251
-
Why do central banks intervene?
-
Baillie, R.T., Osterberg, W.P., 1997a. Why do central banks intervene? Journal of International Money and Finance 16 (6), 909-919.
-
(1997)
Journal of International Money and Finance
, vol.16
, Issue.6
, pp. 909-919
-
-
Baillie, R.T.1
Osterberg, W.P.2
-
9
-
-
0036065581
-
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
-
in press
-
Beine M., Laurent S., Lecourt C., 2002. Accounting for Conditional Leptokurtosis and Closing Days Effects in FIGARCH Models of Daily Exchange Rates. Applied Financial Economics (in press).
-
(2002)
Applied Financial Economics
-
-
Beine, M.1
Laurent, S.2
Lecourt, C.3
-
11
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
12
-
-
70349218800
-
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
-
Bollerslev, T., Wooldridge, J.M., 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11, 143-172.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-172
-
-
Bollerslev, T.1
Wooldridge, J.M.2
-
13
-
-
0000658462
-
Modeling and pricing long memory in stock market volatility
-
Bollerslev, T., Mikkelsen, H.O., 1996. Modeling and pricing long memory in stock market volatility. Journal of Econometrics 73, 151-184.
-
(1996)
Journal of Econometrics
, vol.73
, pp. 151-184
-
-
Bollerslev, T.1
Mikkelsen, H.O.2
-
14
-
-
0002691865
-
Long-term equity anticipation securities and stock market volatility dynamics
-
Bollerslev T., Mikkelsen H.O., 1999. Long-term equity anticipation securities and stock market volatility dynamics. Journal of Econometrics 92 (1), 75-99.
-
(1999)
Journal of Econometrics
, vol.92
, Issue.1
, pp. 75-99
-
-
Bollerslev, T.1
Mikkelsen, H.O.2
-
15
-
-
0030528472
-
Central bank intervention and the volatility of foreign exchange rates: Evidence from the options market
-
Bonser-Neal, C., Tanner, G., 1996. Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. Journal of International Money and Finance 15 (6), 853-878.
-
(1996)
Journal of International Money and Finance
, vol.15
, Issue.6
, pp. 853-878
-
-
Bonser-Neal, C.1
Tanner, G.2
-
16
-
-
10644235034
-
Comments on Murray, J., Zelner, M. and McManus, D., the effects of intervention on Canadian dollar volatility
-
Boothe P., 1996. Comments on Murray, J., Zelner, M. and McManus, D., The Effects of Intervention on Canadian Dollar volatility. In: Proceedings of a Conference held at the Bank of Canada.
-
(1996)
Proceedings of a Conference Held at the Bank of Canada
-
-
Boothe, P.1
-
18
-
-
0032545904
-
Intraday effects of foreign exchange intervention by the Bank of Japan
-
Chang, Y., Taylor, S., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan. Journal of International Money and Finance 17, 191-210.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 191-210
-
-
Chang, Y.1
Taylor, S.2
-
21
-
-
0032545908
-
Central bank intervention and exchange rate volatility
-
Dominguez, K.M., 1998. Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17, 161-190.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 161-190
-
-
Dominguez, K.M.1
-
22
-
-
0003629081
-
The market. Microstructure of Central bank intervention
-
Dominguez K.M., 1999. The Market. Microstructure of Central Bank Intervention. NBER Working paper 7337.
-
(1999)
NBER Working Paper 7337
-
-
Dominguez, K.M.1
-
25
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
-
Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
26
-
-
84963146757
-
Modeling the persistence of conditional variances
-
Engle, R.F., Bollerslev, T., 1986. Modeling the persistence of conditional variances. Econometric Reviews 5, 1-50.
-
(1986)
Econometric Reviews
, vol.5
, pp. 1-50
-
-
Engle, R.F.1
Bollerslev, T.2
-
28
-
-
38849137510
-
On the effectiveness of sterilized foreign exchange interventions
-
February
-
Fatum E., 2000. On the Effectiveness of Sterilized Foreign Exchange Interventions. European Central Bank Working Paper 10, February.
-
(2000)
European Central Bank Working Paper 10
-
-
Fatum, E.1
-
29
-
-
58149364107
-
Fixing exchange rates: A virtual quest for fundamentals
-
Flood, R., Rose, A.K., 1995. Fixing exchange rates: a virtual quest for fundamentals. Journal of Monetary Economics 36, 3-37.
-
(1995)
Journal of Monetary Economics
, vol.36
, pp. 3-37
-
-
Flood, R.1
Rose, A.K.2
-
30
-
-
0000636863
-
A test of perfect substituability in the foreign exchange market
-
Frankel, F., 1982. A test of perfect substituability in the foreign exchange market. Southern Economic Journal 46 (4).
-
(1982)
Southern Economic Journal
, vol.46
, Issue.4
-
-
Frankel, F.1
-
32
-
-
0003639129
-
Perceived Central bank intervention and market expectations: An empirical study of the yen/dollar exchange rate, 1993-1996
-
October
-
Galati G. and -Melick W., 1999. Perceived Central Bank Intervention and Market Expectations: an Empirical Study of the yen/dollar Exchange Rate, 1993-1996. BIS Working Paper 77, October.
-
(1999)
BIS Working Paper 77
-
-
Galati, G.1
Melick, W.2
-
34
-
-
84952520952
-
Modeling heteroskedasticity in daily foreign exchange rates
-
Hsieh, D.A., 1989. Modeling heteroskedasticity in daily foreign exchange rates. Journal of Business and Economic Statistics 7 (3), 307-317.
-
(1989)
Journal of Business and Economic Statistics
, vol.7
, Issue.3
, pp. 307-317
-
-
Hsieh, D.A.1
-
35
-
-
1342308524
-
Parametric distributional flexibility and conditional variance models with an application to hourly exchange rates
-
Lye J.N., Martin V.L., Teo L.E., 1998. Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates. IMF Working Paper 98129.
-
(1998)
IMF Working Paper 98129
-
-
Lye, J.N.1
Martin, V.L.2
Teo, L.E.3
-
36
-
-
0003238795
-
The effectiveness of foreign exchange interventions: Recent experience, 1985-1988
-
Branson, Frankel, Goldstein (Eds.). NBER, University of Chicago Press, Chicago
-
Obstfeld, M., 1990. The effectiveness of foreign exchange interventions: recent experience, 1985-1988. In: Branson, Frankel, Goldstein (Eds.), International Policy Coordination and Exchange Rate Fluctuations. NBER, University of Chicago Press, Chicago.
-
(1990)
International Policy Coordination and Exchange Rate Fluctuations
-
-
Obstfeld, M.1
-
37
-
-
0030139575
-
The econometrics of financial markets
-
Pagan, A., 1996. The econometrics of financial markets. Journal of Empirical Finance 3, 15-102.
-
(1996)
Journal of Empirical Finance
, vol.3
, pp. 15-102
-
-
Pagan, A.1
-
38
-
-
0002746001
-
Simple diagnostics procedure for modelling financial time series
-
Palm, F.C., Vlaar, P.J.G., 1997. Simple diagnostics procedure for modelling financial time series. Allgemeine Statistiches Archiv 81, 85-101.
-
(1997)
Allgemeine Statistiches Archiv
, vol.81
, pp. 85-101
-
-
Palm, F.C.1
Vlaar, P.J.G.2
-
40
-
-
0032326301
-
The conditional heteroskedasticity of the YEN-Dollar exchange rates
-
Tse, Y.K., 1998. The conditional heteroskedasticity of the YEN-Dollar exchange rates. Journal of Applied Econometrics 13 (1), 49-56.
-
(1998)
Journal of Applied Econometrics
, vol.13
, Issue.1
, pp. 49-56
-
-
Tse, Y.K.1
-
41
-
-
10644235726
-
Intervention, international policy coordination and the future of EMU: A German perspective
-
Paper presented
-
Weber A., 1994. Intervention, international policy coordination and the future of EMU: A German Perspective. Paper presented at the conference on European Currency Crises and After.
-
(1994)
Conference on European Currency Crises and After
-
-
Weber, A.1
-
42
-
-
10644272988
-
Exchange rates and the effectiveness of central bank intervention: New evidence for the G3 and the EMS
-
Bordes, C., Girardin, E., Melitz, J. (Eds.). Manchester University Press, Manchester
-
Weber, A., 1995. Exchange rates and the effectiveness of central bank intervention: new evidence for the G3 and the EMS. In: Bordes, C., Girardin, E., Melitz, J. (Eds.), European Currency Crises and After. Manchester University Press, Manchester.
-
(1995)
European Currency Crises and After
-
-
Weber, A.1
-
43
-
-
10644245379
-
-
Institute for International Economics, Washington, DC
-
Williamson, J., 1985. The Exchange Rate System, Policy Analysis in International Economics, 5. Institute for International Economics, Washington, DC.
-
(1985)
The Exchange Rate System, Policy Analysis in International Economics
, vol.5
-
-
Williamson, J.1
-
44
-
-
0007579705
-
Targeting and indications: A blueprint for the international coordination of economic policy
-
Institute for International Economics, Washington, DC
-
Williamson, J., Miller, M., 1987. Targeting and Indications: a Blueprint for the International Coordination of Economic Policy. Policy Analysis in International Economics 22. Institute for International Economics, Washington, DC.
-
(1987)
Policy Analysis in International Economics 22
-
-
Williamson, J.1
Miller, M.2
|