The message in daily exchange rates: A conditional-variance tale

Journal of Business and Economic Statistics

Volumn 20, Issue 1, 2002, Pages 60-68

  Baillie, Richard T ^a   Bollerslev, Tim ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Exchange rates; Generalized autoregressive conditional heteroscedasticity models; Intervention analysis; Leptokurtosis; Temporal aggregation; Unit roots

Indexed keywords

EID: 0035995704     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102753410390     Document Type: Article

References (46)

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