THE DYNAMICS OF EXCHANGE-RATE VOLATILITY - A MULTIVARIATE LATENT FACTOR ARCH MODEL

[1] NEW LOOK AT STATISTICAL-MODEL IDENTIFICATION [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (06) : 716 - 723

[2] [Anonymous], 1982, J INT MONEY FINANC, DOI DOI 10.1016/0261-5606(82)90004-3

[3] [Anonymous], 1979, ADV FACTOR ANAL STRU

[4] [Anonymous], 1988, EMPIRICAL MODELING E

[5] Bilson John F.O., 1979, POLICIES EMPLOYMENT

[6] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[7] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J]. REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) : 542 - 547

[8] BOLLERSLEV T, 1988, J POLITICAL EC, V95, P116

[9] BOLLERSLEV T, 1987, MULTIVARIATE GARCH M

[10] THE STATISTICAL DISTRIBUTION OF EXCHANGE-RATES - EMPIRICAL-EVIDENCE AND ECONOMIC-IMPLICATIONS [J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1987, 22 (3-4) : 297 - 319

[1] NEW LOOK AT STATISTICAL-MODEL IDENTIFICATION [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (06) : 716 - 723

[2] [Anonymous], 1982, J INT MONEY FINANC, DOI DOI 10.1016/0261-5606(82)90004-3

[3] [Anonymous], 1979, ADV FACTOR ANAL STRU

[4] [Anonymous], 1988, EMPIRICAL MODELING E

[5] Bilson John F.O., 1979, POLICIES EMPLOYMENT

[6] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[7] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J]. REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) : 542 - 547

[8] BOLLERSLEV T, 1988, J POLITICAL EC, V95, P116

[9] BOLLERSLEV T, 1987, MULTIVARIATE GARCH M

[10] THE STATISTICAL DISTRIBUTION OF EXCHANGE-RATES - EMPIRICAL-EVIDENCE AND ECONOMIC-IMPLICATIONS [J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1987, 22 (3-4) : 297 - 319