Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 13 (1996)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/30411
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
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American Statistical Association, vol. 20(1), pages 60-68, January.
- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
- Tom Doan, . "RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects," Statistical Software Components RTZ00172, Boston College Department of Economics.
- Spanos, Aris, 1994. "On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 10(02), pages 286-315, June.
- John Cotter, 2011.
"Tail Behaviour of the Euro,"
200417, Geary Institute, University College Dublin.
- Logan Rangasamy, 2009. "Exports and economic growth: The case of South Africa," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(5), pages 603-617.
- Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.
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