Title:

Stochastic Volatility Models for Exchange Rates and Their Estimation Using Quasi-maximum-Likelihood Methods: An Application to the South African Rand

Authors:

M. V. Kulikova (UTL)
David R. Taylor (U Cape Town)

Journal:

Journal Of Applied Statistics

Year:

2013

Volume:

40

Pages:

495-507

JEL codes:

C51 - Model Construction and Estimation
F31 - Foreign Exchange
O19 - International Linkages to Development; Role of International Organizations