Lee JIMF 1994—VECM-GARCH Models

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TomDoan
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Lee JIMF 1994—VECM-GARCH Models

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This is a replication for T. H. Lee(1994), "Spread and volatility in spot and forward exchange rates," Journal of International Money and Finance, vol. 13, no 3, 375-383. It estimates a set of VECM-GARCH-X models on spot and forward exchanges rates for several countries. This requires RATS 9.2 or later for (a) doing the VECM-GARCH models and (b) doing the BEKK-X in the form done in the paper.

Lee JIMF(1994)

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Last bumped by TomDoan on Tue Jan 30, 2018 4:07 pm.
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