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Original Articles

Modelling exchange rate volatility

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Pages 617-624 | Received 27 Sep 1996, Accepted 28 Nov 1996, Published online: 03 Apr 2007

References

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  • MEESE , R. A. , and ROGOFF , K. , 1983 , The out-of-sample failure of empirical exchange rate models: sampling error or misspecification. Exchange Rates and International Macroeconomics, edited by J. A. Frenkel ( Chicago , Illinois , U.S.A. : University of Chicago Press ).
  • SENGUPTA , J. K. , and SFEIR , R. E. , 1994 , Modelling and testing for market volatility . International Journal of Systems Science, 25 , 881 – 891 ; 1996 , Exchange rate instability: some empirical tests of temporal dynamics . Applied Economics Letters, to be published .
  • TIER , C. , and HANSON , F. B. , 1981 , Persistence in density dependent stochastic populations. Mathematical Biosciences, 53 , 89 – 117 .

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