Volatility of a seemingly fixed exchange rate

Eastern European Economics

Volumn 34, Issue 6, 1996, Pages 37-67

  Kočenda, Evžen ^a  

^a CERGE EI   (Czech Republic)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039338422     PISSN: 00128775     EISSN: None     Source Type: Journal    
DOI: 10.1080/00128775.1996.11648603     Document Type: Article

References (21)

1. Akaike, H. 1974. "A New Look at the Statistical Model Identification." IEEE Transactions on Automatic Control 19: 716-23.
2. Baillie, R.T., and Bollerslev, T. 1989. "The Message in Daily Exchange Rates: A Conditional Variance Tale." Journal of Business and Economic Statistics 7: 297-305.
3. Berndt, E.K.; Hall, B.H.; Hall, R.E.; and Hausman, J.A. 1974. "Estimation of Inference in Nonlinear Structural Models." Annals of Economic and Social Measurement 4: 653-65.
4. Bollerslev, T. 1986. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31: 307-27.
5. Bollerslev, T., and Engle, R.F. 1993. "Common Persistence in Conditional Variances." Econometrica 61: 167-86.
6. Brock, W., and Dechert, W. 1988. "A General Class of Specification Tests: The Scalar Case." In Business and Economic Statistics Section of the Proceedings of the American Statistical Society, pp. 70-79.
7. Brock, W.; Dechert, W.; and Scheinkman, J. 1987. "A Test for Independence Based on the Correlation Dimension." Department of Economics Working Paper. University of Wisconsin at Madison.
8. Brock, W.; Dechert, W.; Scheinkman, J.; and LeBaron, B. 1996. "A Test for Independence Based on the Correlation Dimension." Forthcoming in Econometric Reviews.
9. Brock, W.A.; Hsieh, D.A.; and LeBaron, B. 1993. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. Cambridge, MA: MIT Press.
10. Dechert, W.D. 1987. "A Program to Calculate BDS Statistics for the IBM PC." Department of Economics, University of Houston.
11. Engle, R.F. 1982. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50: 987-1007.
12. Friedman, D., and Vandersteel, S. 1982. "Short-Run Fluctuations in Foreign Exchange Rates." Journal of International Economics 13: 171-86.
13. Grassberger, P., and Procaccia, I. 1983. "Measuring the Strangeness of Strange Attractors." Physica 9D: 190-208.
14. Hsieh. D.A. 1988. "Statistical Properties of Daily Exchange Rates: 1974-1983." Journal of International Economics 24: 129-45.
15. _. 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates." Journal of Business 62: 339-68.
16. _. 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets." Journal of Finance 46: 1839-77.
17. Ljung, G.M., and Box, G.E.P. 1978. "On a Measure of Lack of Fit in Time Series Models." Biometrika 65: 297-303.
18. Mandelbrot, B. 1963. "The Variation of Certain Speculative Prices." Journal of Business 36: 394-419.
19. Milhøj, A. 1987. "A Conditional Variance Model for Daily Deviations of an Exchange Rate." Journal of Business and Economic Statistics 5: 99-103.
20. Nelson, D.A. 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica 59: 347-70.
21. Svensson, L.E.O. 1994. "Fixed Exchange Rates as a Means to Price Stability: What Have We Learned?" European Economic Review 38: 447-68.