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The conditional heteroscedasticity of the yen-dollar exchange rate

Y. K. Tse

Journal of Applied Econometrics, 1998. DOI 10.1002/(sici)1099-1255(199801/02)13:1<49::aid-jae459>3.0.co;2-o

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 failed.

Replications

• Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach, Tsui & Ho (2004). Outcome recorded: failed. Unlike Tse (1998), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. View paper

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