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Original Articles

Evidence on volatility spillovers in the interwar floating exchange rate period based on high/low prices

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Pages 394-396 | Received 02 Jun 1995, Published online: 02 Nov 2006

References

  • Baillie , R. T. , Bollerslev , T. and Redfearn , M. R. 1993 . Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation of 1920 . Journal of International Money and Finance , 12 : 511 – 21 .
  • Byers , J. D. and Peel , D. A. 1992 . Evidence on the stochastic structure of exchange rates in the interwar period . Applied Financial Economics , 2 : 99 – 103 .
  • Engle , R. F. , Ito , T. and Lin , W. 1990 . Meteor showers or heatwaves: Heteroskedastic intraday volatility in the foreign exchange market . Econometrica , 58 : 525 – 42 .
  • Einzig , P. 1937 . The Theory of Foreign Exchange , London : Macmillan .
  • Parkinson , M. 1980 . The extreme value method for estimating the variance of the rate of return . Journal of Business , 53 : 61 – 5 .
  • Taylor , S. J. 1987 . Forecasting the volatility of currency exchange rates . International Journal of Forecasting , 3 : 159 – 70 .

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