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Author: | Beine, M. Bénassy-Quéré, A. Lecourt, C. |
Title: | Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations |
Journal: | Journal of International Money and Finance
2002 : FEB, VOL. 21:1, p. 115-144 |
Index terms: | CENTRAL BANKS FOREIGN EXCHANGE VOLATILITY |
Language: | eng |
Abstract: | In this paper, the authors investigate the effects of official interventions on the (short run) evolution and volatility of exchange rates. To this aim, they rely on a new measure of volatility implied by the FIGARH model that outperforms the traditionally used GARCH one. |
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