Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand
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- Andrew stuart Duncan & Guanglingdave Liu, 2009. "Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand," South African Journal of Economics, Economic Society of South Africa, vol. 77(3), pages 363-379, September.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nasha Maveé & Roberto Perrelli & Axel Schimmelpfennig, 2016. "Surprise, Surprise; What Drives the Rand / U.S. Dollar Exchange Rate Volatility?," IMF Working Papers 16/205, International Monetary Fund.
- Sean Joss Gossel & Nicholas Biekpe, 2012. "The effects of capital inflows on South Africa's economy," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 923-938, June.
- King, Daniel & Botha, Ferdi, 2015.
"Modelling stock return volatility dynamics in selected African markets,"
Elsevier, vol. 45(C), pages 50-73.
- Daniel King and Ferdi Botha, 2014. "Modelling Stock Return Volatility Dynamics in Selected African Markets," Working Papers 410, Economic Research Southern Africa.
- Sandile Hlatshwayo & Magnus Saxegaard, 2016. "The Consequences of Policy Uncertainty; Disconnects and Dilutions in the South African Real Effective Exchange Rate-Export Relationship," IMF Working Papers 16/113, International Monetary Fund.
- Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
- Andrew S. Duncan & Alain Kabundi, 2011. "Volatility Spillovers across South African Asset Classes during Domestic and Foreign," Working Papers 202, Economic Research Southern Africa.
More about this item
KeywordsCurrency crisis; exchange rate; volatility; ICSS algorithm; GARCH;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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