Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This paper looks into the consequences of adopting these less severe constraints in the GARCH (2,2)...

In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is...

In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are...

During the years 1873-1875, Norway, Denmark and Sweden reformed their monetary systems. They adopted a common currency, the Scandinavian Krona, based on gold. The German conversion to the gold standard in 1871 had acted as a catalyst for monetary change, and it sparked intense activity in...

A method proposed by Bertola and Svensson (1993) is used to extract expected rates of depreciation within the target zone band for four Nordic currencies 1979-1989. These are then combined with time-series of expected rates of devaluation (defined as changes in central parities of the target...

This paper attempts to review the argument that EMU leads to benefits from lower exchange rate uncertainty. Two questions are addressed. First, there is the microeconomic question of how exchange rate uncertainty affects firms. Second, there is the macroeconomic question of how EMU will be...

This paper applies theories and methods from modern economics and finance to new sets of historical financial data in order to study the integration and efficiency of the Scandinavian foreign exchange market. Series of the monthly prices of sight sterling bills have been collected and subjected...

In this paper we study the changes in corporate valuations induced by the adoption of the euro as the common currency in Europe. We use corporate-evel data from ten countries that adopted the euro, the three EU countries that did not start using the euro, as well as Norway and Switzerland. We...