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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. The earliest on record is from 2004.

Replications

• Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach, Tsui & Ho (2004). Journal of Applied Econometrics. 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. Outcome read from the abstract. View paper

Cite this record

Tse, Y. K. (1998). The conditional heteroscedasticity of the yen-dollar exchange rate. Journal of Applied Econometrics, 13(1), 49–55. https://doi.org/10.1002/(sici)1099-1255(199801/02)13:13.0.co;2-o

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