Modelling exchange rate volatility

DOI10.1080/00207729708929423zbMath0882.90020OpenAlexW2017986378WikidataQ126251073 ScholiaQ126251073MaRDI QIDQ4346484

Raymond E. Sfeir, Jati K. Sengupta

Publication date: 3 August 1997

Published in: International Journal of Systems Science (Search for Journal in Brave)

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

zbMATH Keywords

autoregressive modelsrandom walk hypothesisexchange rate marketspattern of volatility

Mathematics Subject Classification ID

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

Related Items (1)

Nonlinear dynamics in foreign exchange markets

Cites Work

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

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