- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

for the period 1970-92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark-US dollar … specification for both high frequency and daily returns data, with similar values of the long memory volatility parameter across …

volatility with the apparent reality that macroeconomic fundamentals do not drive G3 exchange rates in the short-run. The recent … on the extent to which domestic inflation and interest rate surprises contribute to short-run volatility in G3 exchange … a relationship between transparency and volatility, we estimate and analyze structural VAR models of relative interest …

to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of …

to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of …