Central bank intervention and exchange rate volatility

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

The Case for Flexible Exchange Rates

1996 • 1,213 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Efficient Analytic Approximation of American Option Values

1987 • 1,044 citations

The Message in Daily Exchange Rates

2002 • 828 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

Does foreign-exchange intervention matter? The portfolio effect

1993 • 428 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

Efficient Analytic Approximation of American Option Values

1987 • 377 citations

The Effectiveness of Central-Bank Intervention: A Survey of the Literature After 1982

1993 • 373 citations

Does foreign exchange intervention work?

1995 • 310 citations

The Specification and Influence of Asset Markets

1985 • 294 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

The role of official intervention

1981 • 275 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

1996 • 248 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

Why do central banks intervene?

1997 • 219 citations

Does foreign exchange intervention signal future monetary policy?

1996 • 206 citations

Chapter 15 The specification and influence of asset markets

1985 • 193 citations

Central bank intervention and risk in the forward market

1997 • 156 citations

Market responses to coordinated central bank intervention

1990 • 110 citations

Report of the Working Group on Exchange Market Intervention

1983 • 107 citations

Estimation for Autoregressive Processes with Unit Roots

1979 • 102 citations

Can learning affect exchange-rate behavior?

1989 • 92 citations

Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?

1995 • 89 citations

Relationships among exchange rates, intervention, and interest rates: An empirical investigation

1984 • 89 citations

Is it signalling? Exchange intervention and the dollar-Deutschemark rate

1992 • 79 citations

The Effectiveness of Foreign-Exchange Intervention: Recent Experience

1988 • 68 citations

Daily Bundesbank and Federal Reserve Interventions

1994 • 52 citations

Foreign Exchange Intervention : An Empirical Assessment

1993 • 49 citations

Intervention in the mark/dollar market: the authorities' reaction function

1984 • 44 citations

Learning about intervention target zones

1993 • 44 citations

Exchange Market Intervention Operations: Their Role in Financial Policy and Their Effects

1984 • 41 citations

The Effectiveness of Foreign-Exchange Intervention: Recent Experience, 1985- 1988

1990 • 39 citations

On the short term objectives of daily intervention by the Deutsche Bundesbank and the federal reserve system in the U.S. Dollar-Deutsche Mark exchange market

1989 • 23 citations

Exchange Rate Management: What Role for Intervention?

1994 • 21 citations

Definition and measurement of exchange market intervention

1983 • 20 citations

On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar – Deutsche Mark Exchange Market

1991 • 13 citations

On the Effectiveness of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the US Dollar — Deutsche Mark Exchange Market

1992 • 12 citations

The advantage of hiding both hands: Foreign exchange intervention, ambiguity and private information

1997 • 4 citations

The Relationship of the Exchange Risk Premium to Net Foreign Assets and Central Bank Intervention

1998 • 4 citations

Exchange Rate Policy and the (Un) conditional Variance of the DM/$-Rate / Währungspolitik und die (un)konditionelle Varianz des DM/$-Kurses

1995 • 3 citations