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~institution:"EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)"
~institution:"European Central Bank"
~institution:"Tinbergen Institute"
~subject:"Exchange rate volatility"
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric
;
Schnabl, Gunther
-
European Central Bank
-
2006
intervention. Based on a
GARCH
framework and change point detection, we test for a structural break in the effectiveness of …
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