| Publications [#238021] of Tim Bollerslev
Journal Articles
- Baillie, RT; Bollerslev, T; Redfearn, MR, Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange,
Journal of International Money and Finance, vol. 12 no. 5
(January, 1993),
pp. 511-521, Elsevier BV, ISSN 0261-5606 [doi]
(last updated on 2024/03/28)
Abstract: This paper examines some of the characteristics of the foreign exchange market in the 1920s floating period. Nominal returns appear to exhibit properties consistent with asset prices on modern more well-organized financial markets; i.e. they appear to be well described by martingales and possess persistent time dependent heteroscedasticity. In order to deal with the extreme kurtosis in the exchange rate series we use robust inferential methods to test for volatility spillovers and shocks that might effect subsequent mean returns. Apart from some particularly abnormal 'bear squeeze' episodes the markets appear remarkably efficient. © 1993.
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