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Empirical Modeling of Exchange Rate Dynamics

Author: Francis X Diebold
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1988.
Series: Lecture notes in economics and mathematical systems, 303.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book uses the methods of statistical time-series analysis to characterize the stochastic structure of seven major dollar spot exchange rates, at both weekly and monthly frequencies, during the recent floating-rate regime 1973-1985. While the conditional-mean behaviour of each exchange rate is close to a random walk, the conditional variances are found to have strongly time-varying volatility. Models of  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francis X Diebold
ISBN: 9783642456411 3642456413
OCLC Number: 851834269
Description: 1 online resource (vii, 143 pages).
Contents: Introduction --
Conditional Heteroskedasticity in Economic Time Series --
Weekly Univariate Nominal Exchange Rate Fluctuations --
Monthly Univariate Nominal Exchange Rate Fluctuations --
Real Exchange Rate Movements --
References.
Series Title: Lecture notes in economics and mathematical systems, 303.
Responsibility: by Francis X. Diebold.

Abstract:

In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random  Read more...

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