The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
Version of Record online: 8 AUG 2006
Copyright © 1989 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 4, Issue 1, pages 1–21, January/March 1989
How to Cite
Diebold, F. X. and Nerlove, M. (1989), The dynamics of exchange rate volatility: A multivariate latent factor ARCH model. J. Appl. Econ., 4: 1–21. doi: 10.1002/jae.3950040102
- Issue online: 8 AUG 2006
- Version of Record online: 8 AUG 2006
- Manuscript Revised: JUN 1988
- Manuscript Received: JAN 1987
- National Science Foundation to the University of Pennsylvania
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