Aguilar, Javiera; Nydahl, Stefan - 1998 - This version: June 14, 1998
This paper examines the effect of the Riksbank’s currency market interventions on the level and the volatility of the USD/SEK and DEM/SEK exchange rates between 1993 and 1996. To model volatility both GARCH models and implied volatilities from currency options are used. Some support is found...