메뉴 건너뛰기




Volumn 25, Issue 1, 1999, Pages 49-63

Big players and the Russian ruble: Explaining volatility dynamics

Author keywords

Accounting research; Exchange rates; Financial markets; History; Regulations; Russia

Indexed keywords


EID: 4043080248     PISSN: 03074358     EISSN: 17587743     Source Type: Journal    
DOI: 10.1108/03074359910765858     Document Type: Article
Times cited : (8)

References (30)
  • 2
    • 0001917976 scopus 로고
    • Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts
    • Akgiray, V., 1989, “Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts,” Journal of Busines, 62(1), 55-80.
    • (1989) Journal of Busines , vol.62 , Issue.1 , pp. 55-80
    • Akgiray, V.1
  • 5
    • 84959819944 scopus 로고
    • Intra-Day and Intra-Market Volatility in Foreign Exchange Rates
    • Baillie, Richard. T., and Tim Bollerslev, 1990, “Intra-Day and Intra-Market Volatility in Foreign Exchange Rates,” Review of Economic Statistics, 58, 565-585.
    • (1990) Review of Economic Statistics , vol.58 , pp. 565-585
    • Baillie, R.T.1    Bollerslev, T.2
  • 6
    • 42449156579 scopus 로고
    • Generalized Autoregressive Conditional Heteroskedasticity
    • Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 0000524817 scopus 로고
    • Hayekian Expectations: Theory and Empirical Applications
    • Butos, William and Roger Koppl, 1993, “Hayekian Expectations: Theory and Empirical Applications,” Constitutional Political Economy, 4, 303-329.
    • (1993) Constitutional Political Economy , vol.4 , pp. 303-329
    • Butos, W.1    Koppl, R.2
  • 8
    • 85029968816 scopus 로고
    • Zametki o nastojashchem polozhenii nashej denezhnoj sistemy i sredstvakh k eja uluchsheniju
    • quoted at length in Gurjev 1896
    • Bunge, Nikolai. 1880, “Zametki o nastojashchem polozhenii nashej denezhnoj sistemy i sredstvakh k eja uluchsheniju,” Sbornik Gosudarstvennykh Znanii Vol I, quoted at length in Gurjev 1896.
    • (1880) Sbornik Gosudarstvennykh Znanii , vol.1
    • Bunge, N.1
  • 9
    • 85036258669 scopus 로고
    • Distribution of the Estimates for Autoregressive Time Series with Unit Root
    • Dickey, D. A., and W. A. Fuller, 1979, “Distribution of the Estimates for Autoregressive Time Series with Unit Root,” Journal of the American Statistical Association, 74,427-432.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-432
    • Dickey, D.A.1    Fuller, W.A.2
  • 10
    • 0000472488 scopus 로고
    • Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
    • Dickey, D. A., and W. A., Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, 1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 12
    • 84986408962 scopus 로고
    • The Dynam ics of Exchange Rate Volatil ity: A Multivariate Latent-Factor A R C H Model
    • Die bold, Francis and Mark Nerlove, 1989, “The Dynam ics of Exchange Rate Volatil ity: A Multivariate Latent-Factor A R C H Model,” Journal of Applied Econometrics, 4, 1-22.
    • (1989) Journal of Applied Econometrics , vol.4 , pp. 1-22
    • Die Bold, F.1    Nerlove, M.2
  • 13
    • 0000051984 scopus 로고
    • Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation
    • Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 14
    • 0000480869 scopus 로고
    • Efficient Capital Markets: A Review of Theory and Empirical Work
    • May
    • Fama, E. F., 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Business, May, 383-417.
    • (1970) Journal of Business , pp. 383-417
    • Fama, E.F.1
  • 15
    • 21144468673 scopus 로고
    • Patterns in Three Centuries of Stock Market Prices
    • Goetzmann. W.N., 1993, “Patterns in Three Centuries of Stock Market Prices,“Journal of Business, 66, 249-270.
    • (1993) Journal of Business , vol.66 , pp. 249-270
    • Goetzmann, W.N.1
  • 17
    • 0000990912 scopus 로고
    • Transaction Data Tests of the Mixture of Distributions Hypothesis
    • Harris, L.E. “Transaction Data Tests of the Mixture of Distributions Hypothesis,” Journal of Finance and Quantitative Analysts, 1987,22, 127-141.
    • (1987) Journal of Finance and Quantitative Analysts , vol.22 , pp. 127-141
    • Harris, L.E.1
  • 19
    • 0030512511 scopus 로고    scopus 로고
    • It is High Time we Take out Ignorance More Seriously
    • Koppl, Roger, 1996, “It is High Time we Take out Ignorance More Seriously,” International Review of Financial Analysis, v5 no 3.
    • (1996) International Review of Financial Analysis , vol.5 , Issue.3
    • Koppl, R.1
  • 20
    • 0002830262 scopus 로고
    • When Do Ideas Matter? A Study in the Natural Selection of Social Games
    • Koppl, Roger and R. Langlois, 1994, “When Do Ideas Matter? A Study in the Natural Selection of Social Games,” Advances in Austrian Economics, 1, 81-104.
    • (1994) Advances in Austrian Economics , vol.1 , pp. 81-104
    • Koppl, R.1    Langlois, R.2
  • 21
    • 0030191531 scopus 로고    scopus 로고
    • Big Players and Herding in Asset Markets: The Case of the Russian Ruble
    • Koppl, Roger and Leland B. Yeager, 1996, “Big Players and Herding in Asset Markets: The Case of the Russian Ruble,” Explorations in Economic History, 33, 367-383.
    • (1996) Explorations in Economic History , vol.33 , pp. 367-383
    • Koppl, R.1    Yeager, L.B.2
  • 22
    • 84986849626 scopus 로고
    • Time-Series Properties and Predictability of Greek Exchange Rates
    • Koutmos, G., and P. Theodossiou, 1994, “Time-Series Properties and Predictability of Greek Exchange Rates,” Managerial and Decision Economics, 14, 159-167.
    • (1994) Managerial and Decision Economics , vol.14 , pp. 159-167
    • Koutmos, G.1    Theodossiou, P.2
  • 23
    • 84977718808 scopus 로고
    • Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
    • Lamoureaux, C.G., and W.D. Lastrapes, “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,” The Journal of Finance, 1990, 55, 221-229.
    • (1990) The Journal of Finance , vol.55 , pp. 221-229
    • Lamoureaux, C.G.1    Lastrapes, W.D.2
  • 24
    • 0000881396 scopus 로고
    • Efficient Capital Markets and Martingales
    • Le Roy, S. F., 1989, “Efficient Capital Markets and Martingales,” Journal of Economic Literature, 23,1583-1621.
    • (1989) Journal of Economic Literature , vol.23 , pp. 1583-1621
    • Le Roy, S.F.1
  • 25
    • 0017846358 scopus 로고
    • On a Measure of Lack of Fit in Time Series Models
    • Ljung, G. M., and G. E. P. Box, 1978, “On a Measure of Lack of Fit in Time Series Models,” Biometrika, 65, 297-303.
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, G.M.1    Box, G.E.P.2
  • 26
    • 85029969611 scopus 로고
    • Several volumes and supplements. Kharkov: Tipo-Litografija “Pechatnoe Delo”
    • Migulin, P. P. 1899-1904. Russkij Gosudarstvennyj Kredit (1769-1899). Several volumes and supplements. Kharkov: Tipo-Litografija “Pechatnoe Delo”.
    • (1899) Russkij Gosudarstvennyj Kredit (1769-1899).
    • Migulin, P.P.1
  • 27
    • 77956888124 scopus 로고
    • Testing fora Unit Rootin Time Series Regression
    • Phillips, P. C. B., and P. Perron, 1988, “Testing fora Unit Rootin Time Series Regression,” Bio metrika, 75, 335-346.
    • (1988) Bio metrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 28
    • 0000658999 scopus 로고
    • The Price of Variability-Volume Relationship on Speculative Markets
    • Tauchen, G., and M. Pitts, “The Price of Variability-Volume Relationship on Speculative Markets,” Econometrica, 1983, 51,485-505.
    • (1983) Econometrica , vol.51 , pp. 485-505
    • Tauchen, G.1    Pitts, M.2
  • 29
    • 84987490378 scopus 로고
    • The Stochastic Properties of Major Canadian Exchange Rates
    • Theodossiou, P., 1994, “The Stochastic Properties of Major Canadian Exchange Rates”, The Finan cial Review, 29, 193-221.
    • (1994) The Finan cial Review , vol.29 , pp. 193-221
    • Theodossiou, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.