MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
نویسندگان
چکیده
منابع مشابه
Modelling exchange rate volatility
Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 2006
ISSN: 0020-6598,1468-2354
DOI: 10.1111/j.1468-2354.2006.00387.x