References
- Andersen , T. G. , Bollerslev , T. , Diebold , F. X. and Labys , P. 1998 . The distribution of exchangerate volatility , NBER Working paper No. 6961
- Andersen , T. G. and Bollerslev , T. 1998 . Answering the skeptics: yes, standard volatility models do provide accurate forecasts . International Economic Review , 39 : 885 – 905 .
- Bollen , N. P. B. , Gray , F. and Whaley , R. E. 2000 . Regime switching in foreign exchange rates: evidence from currency option prices . Journal of Econometrics , 94 : 239 – 276 .
- Bollerslev , T. 1986 . Generalized autoregressiw conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
- Cai , J. 1994 . A Markov model of switching regime ARCH . Journal of Business and Economic Statistics , 12 : 309 – 316 .
- Davies , R. B. 1987 . Hypothesis testing when a nuisance par-ameter is present only under the alternative . Biometrika , 74 : 33 – 43 .
- Diebold , F. 1986 . Comment on ‘Modeling the persistence of conditional variance’, R. Engle and T. Bollerslev . Econometric Reviews , 5 : 51 – 56 .
- Duker , M. J. 1997 . Markov switching in GARCH processes and mean-reverting stock market volatility . Journal of Business and Economic Statistics , 15 : 26 – 34 .
- Engle , R. F. and Ng , V. K. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 1778 .
- Hamilton , J. D. 1994 . Time Series Analysis , Princeton, New Jersey : Princeton University Press .
- Hamilton , J. D. and Susmel , R. 1994 . Autoregressive conditional heteroskedasticity and changes in regime . Journal of Econometrics , 64 : 307 – 333 .
- Lamoreaux , C. G. and Lastrapes , W. D. 1990 . Persistence in variance, structural change and the GARCH model . Journal of Business and Economic Statistics , 8 : 225 – 234 .
- Simonato , J. C. 1992 . Estimation of GARCH processes in the presence of structural change . Economics Letters , 40 : 155 – 158 .
- So , M. K. P. , Lam , K. and Li , N. K. 1998 . A stochastic volatility model with Markov switching . Journal of Business and Economic Statistics , 16 : 244 – 253 .