Analýza volatility devizových kurzů vybraných ekonomik
[The Analysis of Volatility of Selected Countries' Exchange Rates]
This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical context considering the lenght and the extent.
|Date of creation:||20 Dec 2008|
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- Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices," IMF Working Papers 04/196, International Monetary Fund.
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- Istvan P Szekely & Ádám Kóbor, 2004. "Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption; Weathering Uncharted Waters," IMF Working Papers 04/16, International Monetary Fund.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, 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.
- Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund.
- Rebecca McCaughrin & Simon T Gray & Alexandre Chailloux, 2008. "Central Bank Collateral Frameworks; Principles and Policies," IMF Working Papers 08/222, International Monetary Fund.
- Jorge I Canales Kriljenko & Karl F Habermeier, 2004. "Structural Factors Affecting Exchange Rate Volatility; A Cross-Section Study," IMF Working Papers 04/147, International Monetary Fund.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Armando Méndez Morales, 2001. "Czech Koruna and Polish Zloty; Spot and Currency Option Volatility Patterns," IMF Working Papers 01/120, International Monetary Fund.
- Burcu Aydin, 2008. "Banking Structure and Credit Growth in Central and Eastern European Countries," IMF Working Papers 08/215, International Monetary Fund.
- 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. Full references (including those not matched with items on IDEAS)
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