article · 1998
The dynamics of DM/£ exchange rate volatility: a SWARCH analysis
This paper applies the switching ARCH model introduced by Hamilton and Susmel (1994) to weekly DM/£ exchange rates for the period March 1987–December 1994. T...
14 citationsDOI: https://doi.org/10.1002/(sici)1099-1158(199801)3:1<59::aid-ijfe52>3.0.co;2-q