A multilateral approach to decomposing volatility in bilateral exchange rates
Mardi Dungey, Australian National University. Faculty of Economics and Commerce, Australian National University. Research School of Social Sciences. Economics Program
Faculty of Economics & Commerce, and Economics Program, Research School of Social Sciences, Australian National University, 1997 - Foreign exchange rates - 39 pages
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APPROACH TO DECOMPOSING AUD factor AUD/CAD AUD/JPY Australian dollar exchange Australian factor Bank of Australia bilateral exchange rates bilateral rates British pound Canadian dollar Chart common factor common numeraire factor consistent estimate Country factor covariance matrix DECOMPOSING VOLATILITY DIFFERENT NUMERAIRE CURRENCIES dollar exchange rate domestic factor efficient estimate eigenvalues estimate of 9 exchange rate changes exchange rate regimes exchange rate volatility factor AUD/USD FACTOR MODEL factor Other Country factor to volatility factor uniquely associated factor World factor floating exchange rate Foreign Exchange Market hence Hong Kong dollar identify idiosyncratic factor Japanese yen linear combination measure of volatility MEASURING VOLATILITY model of exchange nxl vector observed obtain a consistent parameter estimates percent of volatility period proxy TWI Reserve Bank response coefficient sample significant spot exchange rate Susj Swiss franc uncorrelated unobserved factors USD block var(s variance-covariance matrix VOLATILITY IN BILATERAL weighting matrix world factor coefficients