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Analýza volatility devizových kurzů vybraných ekonomik
[The Analysis of Volatility of Selected Countries' Exchange Rates]

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  • Bednarik, Radek

Abstract

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical context considering the lenght and the extent.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15046.

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Date of creation: 20 Dec 2008
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Handle: RePEc:pra:mprapa:15046

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Keywords: exchange; rate; volatility; ARCH; GARCH;

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  1. Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices," IMF Working Papers 04/196, International Monetary Fund.
  2. Rebecca McCaughrin & Simon Gray & Alexandre Chailloux, 2008. "Central Bank Collateral Frameworks," IMF Working Papers 08/222, International Monetary Fund.
  3. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 03/125, International Monetary Fund.
  4. Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund.
  5. Turgut Kısınbay, 2010. "Predictive ability of asymmetric volatility models at medium-term horizons," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(30), pages 3813-3829.
  6. Ana Fostel & Sandeep Kapur & Luis Catão, 2007. "Persistent Gaps, Volatility Types, and Default Traps," IMF Working Papers 07/148, International Monetary Fund.
  7. Kobor, Adam & Szekely, Istvan P., 2004. "Foreign exchange market volatility in EU accession countries in the run-up to Euro adoption: weathering uncharted waters," Economic Systems, Elsevier, Elsevier, vol. 28(4), pages 337-352, December.
  8. István P. Székely & Ãdám Kóbor, 2004. "Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption," IMF Working Papers 04/16, International Monetary Fund.
  9. Armando Méndez Morales, 2001. "Czech Koruna and Polish Zloty," IMF Working Papers 01/120, International Monetary Fund.
  10. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  11. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 391-407, March.
  12. Burcu Aydin, 2008. "Banking Structure and Credit Growth in Central and Eastern European Countries," IMF Working Papers 08/215, International Monetary Fund.
  13. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  14. Jorge Iván Canales Kriljenko & Karl Friedrich Habermeier, 2004. "Structural Factors Affecting Exchange Rate Volatility," IMF Working Papers 04/147, International Monetary Fund.
  15. Juraj Stanèík, 2007. "Determinants of Exchange-Rate Volatility: The Case of the New EU Members," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 57(9-10), pages 414-432, October.
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