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Decomposing exchange rate volatility around the Pacific Rim☆

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References

2007Modelling Financial Time Series1,415 cited
1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
1994Theory and Tests of Generalized Purchasing‐Power Parity: Common Trends and Real Exchange Rates In the Pacific Rim101 cited
1994Neglected common factors in exchange rate volatility71 cited

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2008Commodity currencies and currency commodities108 cited
2010Volatility spillovers between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis46 cited
2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION34 cited
2004Identifying terms of trade effects in real exchange rate movements: evidence from Asia15 cited

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