References
- Baba, Y., Engle, R. F. Kraft, D. F. and Kroner K. F. (1991) Multivariate simultaneous generalized ARCH unpublished manuscript, Department of Economics, University of California. San Diego.
- Bernd , E. K. , Hall , B. H. , Hall , R. E. and Hausman , J. A. 1974 . Estimation and inference in nonlinear structural models . Annals of Economic and Social Measurement , 3/4 : 653 – 665 .
- Bollerslev , T. 1990 . Modelling the coherence in short-run exchange rates: a multivariate generalized ARCH model . The Review of Economics and Statistics , 72 : 498 – 505 .
- Bollerslev , T. and Engle , R. F. 1993 . Common persistence in conditional variances . Econometrica , 61 : 167 – 186 .
- Cumby , R. E. and Obstfeld , M. 1984 . “ International interest rate and price level linkages under flexible exchange rates: a review of recent evidence ” . In Exchange Rates: Theory and Practice , Edited by: Bilson , J. F. O. and Marston , R.C. Chicago : University of Chicago Press .
- Diebold , F. X. and Pauly , P. 1988 . Endogenous risk in a portfolio balance rational expectations model of the deutschmark–dollar rate . European Economic Review , 32 : 27 – 53 .
- Domowitz , I. and Hakkio , C. 1985 . Conditional variance and the risk premium in the foreign exchange market . Journal of lnternational Economics , 19 : 47 – 66 .
- Giavazzi , F. and Giovannini , A. 1989 . Limiting Exchange Rate Flexibility , Cambridge, MA : MIT Press .
- Lee , T. K. 1988 . Does conditional covariance or conditional variance explain time varying risk premia in foreign exchange markets? . Economics Letters , 27 : 371 – 373 .
- Malliaropulos . 1994 . Monetary convergence and the relationship between European currencies and the dollar . International Review of Economics and Business (Rivista lnternazionale) , forthcoming
- Pagan, A. and Sabau, H. (1987) Consistency tests for heteroskedastic and risk models, unpunblished manuscript, University of Rochester.