Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
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References listed on IDEAS
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
Journal of Business & Economic Statistics,
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- 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 542-547, August.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- John Cotter, 2005.
"Tail behaviour of the euro,"
Taylor & Francis Journals, vol. 37(7), pages 827-840.
- Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005.
- John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
- John Cotter, 2011. "Tail Behaviour of the Euro," Papers 1103.5418, arXiv.org.
- 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.
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