Byers, J. D.; Peel, D. A. - In: Applied Economics Letters 2 (1995) 7, pp. 215-219
We investigate the properties of floating exchange rates in the inter-war period by estimating a bilinear quadratic ARCH model that allows for non-linearity in both mean and variance. Our analysis suggests that, with one exception, spot rates exhibited non-linearity in either of, or both, mean...