EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence
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- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007.
"The stability of electricity prices: Estimation and inference of the Lyapunov exponents,"
Physica A: Statistical Mechanics and its Applications,
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- Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
- Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2011.
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- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2006. "The stability of electricity prices : estimation and inference of the Lyapunov exponents," Research Discussion Papers 9/2006, Bank of Finland.
- Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
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"Characterizing the Degree of Stability of Non-linear Dynamic Models,"
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More about this item
KeywordsEMU; Foreign Exchange; Smooth Lyapunov Exponents; Stability; Volatility;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2001-11-05 (Accounting & Auditing)
- NEP-ALL-2001-11-05 (All new papers)
- NEP-EEC-2001-11-05 (European Economics)
- NEP-FMK-2001-11-05 (Financial Markets)
- NEP-IFN-2001-11-05 (International Finance)
- NEP-MAC-2001-10-29 (Macroeconomics)
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