Long run trends and volatility spillovers in daily exchange rates
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/0960310042000203037
Reference25 articles.
1. Intra-Day and Inter-Market Volatility in Foreign Exchange Rates
2. Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
3. Fractionally integrated generalized autoregressive conditional heteroskedasticity
4. A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency
5. Real exchange rates and real interest differentials
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