Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model
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- Type
- article
- Published
- 1990-08-01
- Cited by
- 3,796
- References
- 9
- OpenAlex
- https://openalex.org/W2063593194
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:154475308
Keywords
Multivariate statistics, Econometrics, Coherence (philosophical gambling strategy), Exchange rate, Arch
References
- Estimation and Inference in Nonlinear Structural Models
- Diagnostic tests as residual analysis
- The statistical properties of daily foreign exchange rates: 1974–1983
- A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
- Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
- Asymptotic Theory for ARCH Models: Estimation and Testing
- On Unit Roots and the Empirical Modeling of Exchange Rates
- A Conditional Variance Model for Daily Deviations of an Exchange Rate
- A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
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- A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market Discussion Paper No. 140
- Large Portfolio Risk Management with Dynamic Copulas
- Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
- Market Risk and Financial Markets Modeling
- Notes on Nonlinear Dynamics
- Cornish-fisher distributions. Theory and financial applications
- Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model
- Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion
- Essays in Empirical Finance
- Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities
- China and the World Equity Markets: A Review of the First Decade
- International Tourism Demand and Volatility Models for the Canary Island
- Testing the contagion hypotheses using multivariate volatility models
- The role of trading intensity in duration modelling and price discovery : evidence from the European carbon market
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