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Power transformation and forecasting the magnitude of exchange rate changes

  • McKenzie, Michael D.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-3VM0N5C-4/2/190f9dfd8ca3ee6b2107a57d73d71921
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 15 (1999)
    Issue (Month): 1 (February)
    Pages: 49-55

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    Handle: RePEc:eee:intfor:v:15:y:1999:i:1:p:49-55
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Brooks, R. & Michaelides, P., 1995. "Autocorrelations, Returns and Australian Financial Futures," Papers 95-9, Melbourne - Centre in Finance.
    2. Michael McKenzie, 1997. "ARCH modelling of Australian bilateral exchange rate data," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 147-164.
    3. repec:cup:cbooks:9780521466004 is not listed on IDEAS
    4. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
    5. 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.
    6. repec:cup:cbooks:9780521460477 is not listed on IDEAS
    7. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    8. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-27, June.
    9. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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