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Neglected common factors in exchange rate volatility · Study

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ArticleNeglected common factors in exchange rate volatility

Ronald J. Mahieu1994

Article1994

Neglected common factors in exchange rate volatility

Ronald J. Mahieu · Peter C. Schotman

71 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 1988A Capital Asset Pricing Model with Time-Varying Covariances 1986Modelling the persistence of conditional variances 2007Modelling Financial Time Series 1994Multivariate Stochastic Variance Models

Cited by

2008Commodity currencies and currency commodities 2006A Web Of Shocks: Crises Across Asian Real Estate Markets 2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 2002International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse 2004A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis 1999

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Details

Year1994

Typearticle

Published1994-07-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations71

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0927-5398(94)90006-x

openalex_workW2089850539

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Decomposing exchange rate volatility around the Pacific Rim☆

1999Empirical Studies on Exchange Rate Puzzles and Volatility

2017Testing for mutually exciting jumps and financial flights in high frequency data