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Decomposing exchange rate volatility around the Pacific Rim☆ · Study

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ArticleDecomposing exchange rate volatility around the Pacific Rim☆

Mardi H. Dungey1999

OA

Articlegreen1999

Decomposing exchange rate volatility around the Pacific Rim☆

Mardi H. Dungey

49 citations·0/0 files stored·Journal of Asian Economics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Global Financial Crisis and Policies

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References

2007Modelling Financial Time Series 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model 1994Theory and Tests of Generalized Purchasing‐Power Parity: Common Trends and Real Exchange Rates In the Pacific Rim 1994Neglected common factors in exchange rate volatility

Cited by

2008Commodity currencies and currency commodities 2010Volatility spillovers between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis 2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION 2004Identifying terms of trade effects in real exchange rate movements: evidence from Asia

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1999The Distribution of Exchange Rate Volatilityreport · 3 shared references 1994Neglected common factors in exchange rate volatilityarticle · 3 shared references 1996Statistical aspects of ARCH and stochastic volatilitychapter · 2 shared references 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange marketarticle · 2 shared references 2005Empirical modelling of contagion: a review of methodologiesarticle · 2 shared references 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange marketsarticle · 2 shared references

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Year1999

Typearticle

Published1999-01-01

VenueJournal of Asian Economics

ISSN-L1049-0078

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1049-0078(00)00030-0

openalex_workW1536083093

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