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A cyclical model of exchange rate volatility · Study

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ArticleA cyclical model of exchange rate volatility

Richard D. F. Harris2011

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Articlegreen2011

A cyclical model of exchange rate volatility

Richard D. F. Harris · Evarist Stoja · Fatih Yılmaz

25 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1997Postwar U.S. Business Cycles: An Empirical Investigation 1994Comparing Predictive Accuracy 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1997How Taxing is Corruption on International Investors?1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1999The Band Pass Filter 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Year2011

Typearticle

Published2011-04-25

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2011.04.007

openalex_workW1763479564

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