A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Eric Hillebrand () and Gunther Schnabl

International Economics and Economic Policy, 2008, vol. 5, issue 4, 389-401

Keywords: Exchange rate volatility; Foreign exchange intervention; Structural break; GARCH; Change points; Japan; C22; E58; F31; F33; G15; C32 (search for similar items in EconPapers)
Date: 2008
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Working Paper: A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility (2006)
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DOI: 10.1007/s10368-008-0121-0

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