A Multivariate Garch Model For Exchange Rates In The Us, Germany And Japan
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- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
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- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- Engle, Robert F. (ed.), 1995. "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327.
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Cited by:
- Wolfgang Polasek, 2013. "Forecast Evaluations for Multiple Time Series: A Generalized Theil Decomposition," Working Paper series 23_13, Rimini Centre for Economic Analysis.
- Iglesias, Emma M. & Phillips, Garry D. A., 2003. "Another look about the evolution of the risk premium: a VAR-GARCH-M model," Economic Modelling, Elsevier, vol. 20(4), pages 777-789, July.
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Keywords
garch and var-garch-m models; mcmc models; posterior; pseudo marginal likeliho ods; model selection.;All these keywords.
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