The time variation of expected returns and volatility in foreign-exchange markets

Bekaert, Geert . Journal of Business & Economic Statistics 1995. 13 :397-408

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Bibtex

@article{CIS-126597,
  Author = {Bekaert, Geert},
  Title = {The time variation of expected returns and volatility in foreign-exchange markets},
  Journal = {Journal of Business & Economic Statistics},
  Volume = {13},
  Year = {1995},
  Pages = {397--408},
  Keywords = {Vector autoregression, GARCH model}
}

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