11 research outputs found
Unit root tests: the autoregressive approach in comparison with the periodogram regression
Impact of cultured shrimp industry on wild shrimp fisheries: analysis of price determination mechanisms and market dynamics
Compative robustness of six tests in repeated measures designs with specified departures from sphericity
Type I error, Autoregressive stationary matrix, Structured non-stationary autoregressive matrix, Arbitrary non-stationary autoregressive matrix, Non-stationary matrix with arbitrary correlation,
The Real Exchange Rate in Small, Open, Developed Economies: Evidence from Cointegration Analysis
Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers
We examine empirically the volatility of four major US dollar spot exchange rates using intraday data over 40 trading days. Using multivariate stochastic volatility models, we investigate the degree of persistence of exchange rate volatility for data sampled at different frequencies and the role of volatility spillovers across exchange rates. We find that the noise component of volatility 'aggregates out' very quickly, being dominated by the more persistent component of volatility for data sampled at 15-minute or lower frequencies. Our results also suggest that exchange rate volatility is very persistent and that cross-currency spillovers are small. Copyright Blackwell Publishers Ltd, 2004.