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Volumn 7, Issue 2, 1999, Pages 202-218

Endogenous exchange rate volatility, trading volume and interest rate differentials in a model of portfolio selection

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; INTEREST RATE; METHODOLOGY; MODEL;

EID: 0032774431     PISSN: 09657576     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9396.00157     Document Type: Article
Times cited : (18)

References (16)
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  • 2
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    • Crouch, R.L.1
  • 5
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    • Engle, Robert F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation," Econometrica 60 (1982):987-1008.
    • (1982) Econometrica , vol.60 , pp. 987-1008
    • Engle, R.F.1
  • 6
    • 0345570254 scopus 로고
    • Chartists, fundamentalists, and trading in the foreign exchange market
    • Jeffrey A. Frankel (ed.) Cambridge: MIT Press
    • Frankel, Jeffrey A. and Kenneth Froot, "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," in Jeffrey A. Frankel (ed.) On Exchange Rates, Cambridge: MIT Press, 1993.
    • (1993) On Exchange Rates
    • Frankel, J.A.1    Froot, K.2
  • 7
    • 0032346647 scopus 로고    scopus 로고
    • Reprojecting partially observed systems with application to interest rate diffusions
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    • (1998) Journal of the American Statistical Association , vol.93 , pp. 10-24
    • Gallant, A.R.1    Tauchen, G.2
  • 8
    • 0001230841 scopus 로고
    • Interest rates and risk premia in the stock market and in the foreign exchange market
    • Giovannini, Alberto and Philippe Jorion, "Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market," Journal of International Money and Finance 6 (1987):107-123.
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    • Giovannini, A.1    Jorion, P.2
  • 9
    • 38149146384 scopus 로고
    • Exchange rate determination and asset prices in a stochastic small open economy
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    • Grinols, E.L.1    Turnovsky, S.2
  • 10
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    • Risk, uncertainty, and exchange rates
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  • 11
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  • 12
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    • The equity premium: It's still a puzzle
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  • 14
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  • 16
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.