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

[21] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J]. ECONOMETRICA, 1982, 50 (04) : 987 - 1007

[22] COMBINING COMPETING FORECASTS OF INFLATION USING A BIVARIATE ARCH MODEL [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1984, 8 (02) : 151 - 165

[23] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[24] FAMA EF, 1976, F FINANCE

[25] FRANKEL JA, 1979, AM ECON REV, V69, P610

[26] FLEXIBLE EXCHANGE-RATES, PRICES, AND THE ROLE OF NEWS - LESSONS FROM THE 1970S [J]. JOURNAL OF POLITICAL ECONOMY, 1981, 89 (04) : 665 - 705

[27] FRENKEL JA, 1976, SCAND J ECON, V78, P200, DOI 10.2307/3439924

[28] FULLER WA, 1976, INTRO STATISTICAL TI

[29] ESTIMATION FOR AUTOREGRESSIVE PROCESSES WITH UNIT ROOTS [J]. ANNALS OF STATISTICS, 1979, 7 (05) : 1106 - 1120

[30] THE STATISTICAL PROPERTIES OF DAILY FOREIGN-EXCHANGE RATES - 1974-1983 [J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1988, 24 (1-2) : 129 - 145

[21] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J]. ECONOMETRICA, 1982, 50 (04) : 987 - 1007

[22] COMBINING COMPETING FORECASTS OF INFLATION USING A BIVARIATE ARCH MODEL [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1984, 8 (02) : 151 - 165

[23] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[24] FAMA EF, 1976, F FINANCE

[25] FRANKEL JA, 1979, AM ECON REV, V69, P610

[26] FLEXIBLE EXCHANGE-RATES, PRICES, AND THE ROLE OF NEWS - LESSONS FROM THE 1970S [J]. JOURNAL OF POLITICAL ECONOMY, 1981, 89 (04) : 665 - 705

[27] FRENKEL JA, 1976, SCAND J ECON, V78, P200, DOI 10.2307/3439924

[28] FULLER WA, 1976, INTRO STATISTICAL TI

[29] ESTIMATION FOR AUTOREGRESSIVE PROCESSES WITH UNIT ROOTS [J]. ANNALS OF STATISTICS, 1979, 7 (05) : 1106 - 1120

[30] THE STATISTICAL PROPERTIES OF DAILY FOREIGN-EXCHANGE RATES - 1974-1983 [J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1988, 24 (1-2) : 129 - 145