The conditional heteroscedasticity of the yen-dollar exchange rate

Journal of Applied Econometrics

Volumn 13, Issue 1, 1998, Pages 49-55

  Tse, Y K ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032326301     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O     Document Type: Article

References (9)

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3. Ding, Z., C. W. J. Granger and R. F. Engle (1993), 'A long memory property of stock market returns and a new model', Journal of Empirical Finance, 1, 83-106.
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6. Li, W. K. and T. K. Mak (1994), 'On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity', Journal of Time Series Analysis, 15, 627-36.
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8. Nelson, D. B. and C. Q. Cao (1992), 'Inequality constraints in the univariate GARCH model', Journal of Business and Economic Statistics, 10, 229-35.
9. Tse, Y. K. (1996), 'The conditional heteroscedasticity of the yen-dollar exchange rate', mimeo.