Phylaktis, Kate; Kassimatis, Yiannis - In: Applied Financial Economics 7 (1997) 1, pp. 15-24
Autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH (GARCH) models are applied to foreign currencies that are traded in both official and black markets using monthly rates in a group of Pacific Basin countries. It is shown that (i) in contrast to the observation of other...