The dynamics of exchange rate volatility: a multivariate latent factor ARCH model

Francis Diebold and Marc Nerlove

No 205, Special Studies Papers from Board of Governors of the Federal Reserve System (U.S.)

Keywords: Foreign exchange rates; time series analysis (search for similar items in EconPapers)
Date: 1986
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Journal Article: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model (1989)
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