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Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Abstract
A multivariate time series model with time varying conditional variances and covariances, but constant conditional correlations is proposed. In a multivariate regression framework, the model is readily interpreted as an extension of the Seemingly Unrelated Regression (SUR) model allowing for heteroskedasticity. Parameterizing each of the conditional variances as a univariate Generalized Autoregressive Conditional Heteroskedastic (GARCH) process, the descriptive validity of the model is illustrated for a set of five nominal European U.S. dollar exchange rates following the inception of the European Monetary System (EMS). When compared to the pre- EMS free float period, the comovements between the currenciess are found to be significantly higher over the later period. Copyright 1990 by MIT Press.
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Cited by
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Metadata
- Authors
- Bollerslev, T.
- Venue
- The Review of Economics and Statistics
- Publisher
- JSTOR
- Published
- 1990-08
- Volume
- 72
- Issue
- 3
- Pages
- 498
- ISSN
- 0034-6535 (ISSN-L)
- OpenAlex
- W2063593194
- Cited by
- 3,512
- References
- 0
- FWCI
- 13.17
- Type
- journal article
- Language
- en
- Open access
- closed
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