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Search: subject:"GARCH‐M model"
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GARCH-M model
29
Volatility
21
Volatilität
17
ARCH model
15
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10
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ECONIS (ZBW)
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51
Empirical Analysis of the Psychological Hypothesis on Exchange Rate Determination and Testing Its Forecastability: The Korean Experience
Rhee, Hyun-Jae
- In:
Journal of Economic Integration
17
(
2002
),
pp. 449-473
The role of psychological impact is examined by investigating the determination of exchange rates, especially the U.S. Dollar. It has been applied to the Korean economic crisis which occurred between January 1997 and June 1999. The basic idea is that psychological information can be used in...
Persistent link: https://www.econbiz.de/10010840790
Saved in:
52
Modelling the Risk Premium in the Black-Market Zloty-Dollar Exchange Rate
McMillan, David G
;
Speight, Alan E H
-
Centre for Research into Industry, Enterprise, Finance …
-
1998
. Using the
GARCH-M
model
, we illustrate use of the Marquardt (1963) alternative to the Berndt, Hall and Hausman (1974 …
Persistent link: https://www.econbiz.de/10005536790
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