The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Special Studies Papers with number 205.
Date of creation: 1986
Date of revision:
Other versions of this item:
- Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
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