International foreign exchange agreements and nominal exchange rate volatility: a GARCH application
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Volume (Year): 10 (1999)
Issue (Month): 2 ()
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References listed on IDEAS
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- Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
- B. Dianne Pauls, 1990. "U.S. exchange rate policy: Bretton Woods to present," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Nov, pages 891-908.
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"On the relation between the expected value and the volatility of the nominal excess return on stocks,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
- Charles Engel & Craig S. Hakkio, 1993. "Exchange rate regimes and volatility," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 43-58.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Hu, Michael Y. & Jiang, Christine X. & Tsoukalas, Christos, 1997. "The European exchange rates before and after the establishment of the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 235-253, October.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Dominguez, K.M., 1989.
"Market Responses To Coordinated Central Bank Intervention,"
179d, Harvard - J.F. Kennedy School of Government.
- Dominguez, Kathryn Mary, 1990. "Market responses to coordinated central bank intervention," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 121-163, January.
- Kathryn M. Dominguez, 1989. "Market Responses To Coordinated Central Bank Intervention," NBER Working Papers 3192, National Bureau of Economic Research, Inc.
- Caporale, Tony & Doroodian, Khosrow, 1994. "Exchange rate variability and the flow of international trade," Economics Letters, Elsevier, vol. 46(1), pages 49-54, September.
- Lastrapes, William D, 1989. "Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(1), pages 66-77, February.
- Michael Bordo & Anna Schwartz, 1991. "What has foreign exchange market intervention since the Plaza Agreement accomplished?," Open Economies Review, Springer, vol. 2(1), pages 39-64, February.
- Mussa, Michael, 1990. "A comment on Dominguez," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 165-171, January.
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