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Volatility spillovers in East European black-market exchange rates

  • Speight, Alan E. H.
  • McMillan, David G.
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-430XM6N-4/2/094ac0065ad5334dca8b3449bcae38c5
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 20 (2001)
    Issue (Month): 3 (June)
    Pages: 367-378

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    Handle: RePEc:eee:jimfin:v:20:y:2001:i:3:p:367-378
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. 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.
    2. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
    3. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
    4. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    6. Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
    7. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    8. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
    9. Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 661-664, August.
    10. Culbertson, William Patton, Jr, 1975. "Purchasing Power Parity and Black-Market Exchange Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 287-96, June.
    11. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
    12. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    13. Akgiray, Vedat & Geoffrey Booth, G. & Seifert, Bruce, 1988. "Distribution properties of Latin American black market exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 37-48, March.
    14. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
    15. 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.
    16. Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
    17. Sanjeev Gupta, 1980. "An application of the monetary approach to black market exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(2), pages 235-252, June.
    18. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 511-521, October.
    19. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    20. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
    21. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 318-327, August.
    22. repec:ner:tilbur:urn:nbn:nl:ui:12-3108733 is not listed on IDEAS
    23. Peel, David A & Speight, Alan E H, 1997. "Non-linearities in East European Black-Market Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 39-57, January.
    24. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    25. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
    26. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-10, June.
    27. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
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