LEE_JIMF_1994: RATS program to replicate Lee(1994) VECM-BEKK GARCH analysis of spot/forward rates

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication for T. H. Lee(1994), "Spread and volatility in spot and forward exchange rates," Journal of International Money and Finance, vol. 13, no 3, 375-383. This estimates a set of VECM-GARCH-X models on spot and forward exchanges rates for several countries.

Language: RATS
Requires: RATS 9.20
Keywords: VECM; GARCH (search for similar items in EconPapers)
Date: 2025-12-29
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https://estima.com/procedures/lee_jimf_1994.zip (application/zip)

Related works:
Journal Article: Spread and volatility in spot and forward exchange rates (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00215

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