204
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

On the GARCH estimates of exchange rate volatility in India

Pages 391-395 | Published online: 07 Oct 2010

References

  • Baxter , M. and Stockman , A. C. 1989 . Business cycles and the exchange rate regime: some international evidence . Journal of Monetary Economies , 23 : 377 – 400 .
  • Becketti , S. and Hakkio , C. November 1992 . How likely is it that the real exchange rate is stationary? , November , Federal Reserve Bank, Kansas City . Manuscript
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Flood , R. P. and Rose , A. K. 1995 . Fixing exchange rates: a virtual quest for fundamentals . Journal of Monetary Economics , 36 : 3 – 37 .
  • Jansen , D. W. 1989 . “ Does inflation uncertainly affect output growth? Further evidence ” . In The Federal Reserve Bank of St Louis Review 43 – 54 .
  • Mussa , M. 1986 . Nominal exchange rate regimes and the behaviour of real exchange rates: evidence and implications . Carnegie-Rochester Series on Public Policy , 25 : 117 – 214 .
  • Pagan , A. R. and Ullah , A. 1988 . The econometric analysis of models with risk terms . Journal of Applied Econometrics , 3 : 87 – 105 .
  • Pozo , S. 1992 . Conditional exchange-rate volatility and the volume of international trade: evidence from the early 1900s . The Review of Economics and Statistics , LXXIV : 325 – 329 .
  • Schwaiger , W. S. A. 1995 . A note on GARCH predictable variances and stock market efficiency . Journal of Banking and Finance , 19 : 949 – 953 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.