Narrow search
Showing 1 - 3 of 3
Cover Image
Nominal Exchange Rate Dynamics in the European Monetary System
Spencer, Michael G. - Economics Department, Queen's University - 1990
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed...
Persistent link: https://www.econbiz.de/10005787690
Cover Image
Nominal Exchange Rate Dynamics in the European Monetary System
Spencer, Michael G. - 1990
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed...
Persistent link: https://www.econbiz.de/10011940443
Cover Image
Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - Volkswirtschaftliche Fakultät, … - 2006
model generates time series that have two prominent characteristics: high degree of volatility persistence and leptokurtosis … of the innovation, which successfully explains the empirical finding of leptokurtosis in financial time series. We …
Persistent link: https://www.econbiz.de/10005619670