Long run trends and volatility spillovers in daily exchange rates

Applied Financial Economics

Volumn 14, Issue 12, 2004, Pages 895-907

  Black, Angela J ^a   McMillan, David G ^a  

^a UNIVERSITY OF ABERDEEN   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

CURRENCY MARKET; EXCHANGE RATE; SPILLOVER EFFECT;

EID: 4043149853     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000203037     Document Type: Article

References (25)

1. Baillie, R. T. and Bollerslev, T. (1991) Intra-day and inter-market volatility in foreign exchange rates, Review of Economic Studies, 58, 565-85.
2. Baillie, R. T., Bollerslev, T. and Redfearn, M. R. (1993) Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange, Journal of International Money and Finance, 12, 511-21.
3. Baillie, R. T., Bollerslev, T. and Mikkelsen, H. O. (1996) Fractionally integrated generalised autoregressive heteroscedasticity, Journal of Econometrics, 74, 3-30.
4. Barkoulas J. and Baum, C. F. (1997) A re-examination of evidence from Cointegration-based tests of foreign exchange market efficiency, Applied Financial Economics, 7, 635-43.
5. Baxter, M. (1994) Real exchange rates and real interest rate differentials: have we missed the business cycle relationship?, Journal of Monetary Economics, 33, 5-37.
6. Beveridge, S. and Nelson, C. R. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle, Journal of Monetary Economics, 7, 151-74.
7. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
8. Bollerslev, T. and Wooldridge, J. M. (1992) Quasi-maximum likelihood estimation of dynamic models with time varying covariances, Econometric Reviews, 11, 143-72.
9. Cheung, Y. and Lai, K. S. (1993) Finite-sample sizes of Johansen's likelihood ratio test for cointegration, Oxford Bulletin of Economics and Statistics, 55, 315-28.
10. Diebold, F. X., Gardeazabal, J. and Yilmaz, K. (1994) On cointegration and exchange rate dynamics, Journal of Finance, 49, 727-35.
11. Drost, F. C. and Nijman, T. (1993) Temporal aggregation of GARCH processes, Econometrica, 61, 909-27.
12. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1008.
13. Engle, R. F. and Lee, G. G. J. (1993) A permanent and transitory component model of stock return volatility, Working paper, Department of Economics, University of California, California.
14. Engle, R. F., Ito, T. and Lin, W. L. (1990) Meteor showers of heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica, 58, 525-42.
15. Fama, E. F. (1965) The behavior of stock market prices, Journal of Business, 38, 34-100.
16. Hall, S. G., Robertson, D. and Wickens, M. R. (1992) Measuring convergence of the EC economies, Manchester School of Economic and Social Studies, 60, 99-111.
17. Harvey, A., Ruiz, E. and Shephard, N. (1994) Multivariate stochastic variance models, Review of Economic Studies, 61, 247-64.
18. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors, Econometrica, 59, 1551-81.
19. Johansen, S. (1995) Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.
20. Klaassen, F. (1999) Have exchange rates become more closely tied? Evidence from a new multivariate GARCH model, Centre Discussion Paper No. 9910
21. Lee, S. W. and Hansen, B. E. (1993) Asymptotic theory for the GARCH (1,1) quasi-maximum likelihood estimator, Unpublished manuscript, Department of Economics, University of Rochester.
22. Lumsdaine, R. L. (1991) Asymptotic properties of the maximum likelihood estimator in GARCH (1,1) and IGARCH (1,1) models, Unpublished manuscript, Department of Economics, Princeton University, Princeton, NJ.
23. Mandelbrot, B. (1963) The variation of certain speculative prices, Journal of Business, 36, 394-419.
24. Nelson, D. B. and Cao, C. Q. (1992) Inequality constraints in the univariate GARCH model, Journal of Business and Economic Statistics, 10, 229-35.
25. Weiss, A. A. (1986) Asymptotic theory for ARCH models: estimation and testing, Econometric Theory, 2, 107-31.