Modelling exchange rate volatility

DOI10.1080/00207729708929423MaRDI QIDQ4346484zbMATH OpenOpenAlexWikidataFDO

Authors J. K. Sengupta, Raymond E. Sfeir

Publication date 3 August 1997

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/6kj5q7m5

zbMATH Keywords

autoregressive modelsexchange rate marketspattern of volatilityrandom walk hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Deterministic Nonperiodic Flow
• Modelling and testing for market volatility
• Persistence in density dependent stochastic populations

Cited in

(12)

• Foreign exchange market volatility in Southeast Asia
• Change in volatility in the won/U.S. Dollar daily exchange rate: Stochastic volatility model
• Empirical modeling of exchange rate dynamics
• On complex behavior and exchange rate dynamics
• Chaotic exchange rate dynamics redux
• Volatility analysis of exchange rate with correlated errors: a sliding data matrix approach
• Characterizing the Degree of Stability of Non-linear Dynamic Models
• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• Are exchange rate movements a random walk?
• Modelling and testing for market volatility
• scientific article; zbMATH DE number 1517363 (Why is no real title available?)
• Nonlinear dynamics in foreign exchange markets

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