News and Dollar Exchange Rate Dinamics

Tivegna MassimoAtella Vincenzo
CEIS Working Papers
The aim of this paper is to describe a news-based multivariate GARCH estimation and simulation of the DM-$ and Yen-$ exchange rates jointly with two financial variables strictly connected with their dynamics, i.e. long term yields and the Dow Jones Ind
Number: 131
Date: Friday 01 December 2000
Revision Date: Friday 01 December 2000