This paper applies the switching ARCH model introduced by Hamilton and Susmel (1994) to weekly DMaΒ£ exchange rates for the period March 1987Β±December 1994. The sample period spans the UK's ERM tenure, which lasted until the currency crisis of September 1992. The SWARCH model generalizes standard ARC
Exchange rate dynamics and currency unification: The Ostmark-DM rate
β Scribed by Michael Burda; Stefan Gerlach
- Publisher
- Springer-Verlag
- Year
- 1993
- Tongue
- English
- Weight
- 810 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0377-7332
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