Conditional heteroscedasticity of exchange rates: Further results based on the fractionally integrated approach

Journal of Applied Econometrics

Volumn 19, Issue 5, 2004, Pages 637-642

  Tsui, Albert K ^a   Ho, Kin Yip ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10044296406     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.802     Document Type: Article

References (9)

1. Baillie R, Bollerslev T, Mikkelsen H. 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74: 3-30.
2. Bollerslev T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31: 307-327.
3. Bollerslev T, Wooldridge JM. 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11: 143-172.
4. Davidson J. 2004. Moment and memory properties of linear conditional heteroscedasticity models. Journal of Business and Economic Statistics 22: 16-29.
5. Ding Z, Granger C, Engle RF. 1993. A long-memory property of stock market returns and a new model. Journal of Empirical Finance 1: 83-106.
6. Engle RF. 1990. Discussion: stock market volatility and the crash of 87. Review of Financial Studies 3: 103-106.
7. Ho KY, Tsui AK. 2003. Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach. Mimeo.
8. Tse YK. 1998. The conditional heteroscedasticity of the yen-dollar exchange rate. Journal of Applied Econometrics 13: 49-55.
9. Tse YK, Tsui AK. 1997. Conditional volatility in foreign exchange rates: evidence from the Malaysian ringgit and Singapore dollar. Pacific-Basin Finance Journal 5: 345-356.