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Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption »

Source: Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Volume/Issue: 2004/16

Series: IMF Working Papers

Author(s): Istvan Szekely , and Ádám Kóbor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2004

ISBN: 9781451843439

Keywords: Markov regime-switching model, EU accession countries, probability, exchange rate, correlations, foreign exchange, probabilities, Econometric and Statistical Methods: General, General Financial Markets: General (includes Measurement and Data), Slovakia,

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-vol...

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption
			: Weathering Uncharted Waters

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters »

Volume/Issue: 2004/16

Series: IMF Working Papers

Author(s): Istvan Szekely , and Ádám Kóbor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2004

DOI: http://dx.doi.org/10.5089/9781451843439.001

ISBN: 9781451843439

Keywords: Markov regime-switching model, EU accession countries, probability, exchange rate, correlations, foreign exchange, probabilities, Econometric and Statistical Methods: General, General Financial Markets: General (includes Measurement and Data), Slovakia,

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-vol...