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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

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  • Baillie, R.

    (Tilburg University, School of Economics and Management)

  • Bollerslev, T.
  • Redfearn, M.R.

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  • Baillie, R. & Bollerslev, T. & Redfearn, M.R., 1991. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Other publications TiSEM b9d0436c-c11c-4f69-b599-6, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:b9d0436c-c11c-4f69-b599-6f279b71606c
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    References listed on IDEAS

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    1. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1987. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply," Journal of Finance, American Finance Association, vol. 42(1), pages 189-194, March.
    2. Richard T. Baillie & Tim Bollerslev, 1991. "Intra-Day and Inter-Market Volatility in Foreign Exchange Rates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 565-585.
    3. Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
    4. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    5. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(1), pages 17-43, March.
    6. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(1), pages 107-131, April.
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