Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions

[1]  M. Hurd.  Estimation in truncated samples when there is heteroscedasticity , 1979 .

[2]  P. Schmidt,et al.  Further evidence on the robustness of the Tobit estimator to heteroskedasticity , 1981 .

[3]  P. Schmidt,et al.  An Investigation of the Robustness of the Tobit Estimator to Non-Normality , 1982 .

[4]  S. Eijffinger.  On the short-term objectives of daily intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. Dollar-Deutsche Mark exchange market , 1989 .

[5]  B. LeBaron.  Technical Trading Rule Profitability and Foreign Exchange Intervention , 1996 .

[6]  S. Eijffinger,et al.  Daily Bundesbank and Federal Reserve Interventions , 1994 .

[7]  Owen F. Humpage.  U.S. Intervention: Assessing the Probability of Success , 1996 .

[8]  Sylvester C. W. Eijffinger,et al.  A friction model of daily Bundesbank and Federal Reserve intervention , 1996 .

[9]  R. Baillie,et al.  Central bank intervention and risk in the forward market , 1997 .

[10]  Gabriele Fiorentini,et al.  A tobit model with garch errors , 1998 .

[11]  Kathryn M. E. Dominguez,et al.  Central bank intervention and exchange rate volatility , 1998 .

[12]  Christopher J. Neely,et al.  The Practice of Central Bank Intervention: Looking Under the Hood , 2000 .

[13]  R. Baillie,et al.  Deviations from daily uncovered interest rate parity and the role of intervention , 2000 .

[14]  P. Siklos,et al.  Foreign exchange market intervention in two small open economies: the Canadian and Australian experience , 2003 .

[15]  Jeffrey Sheen,et al.  The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia , 2002 .

[16]  Takatoshi Ito,et al.  Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s , 2002 .

[17]  Christian Pierdzioch,et al.  Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s , 2003 .

[18]  R. Rigobón,et al.  IDENTIFYING THE EFFICACY OF CENTRAL BANK INTERVENTIONS: EVIDENCE FROM AUSTRALIA , 2003 .

[19]  Christian Pierdzioch,et al.  Modeling the intensity of foreign exchange intervention activity , 2004 .

[20]  Christian Pierdzioch,et al.  Japanese and U.S. Interventions in the Yen/ U.S. Dollar Market: Estimating the Monetary Authorities' Reaction Functions , 2005 .

[21]  William R. Melick,et al.  Foreign exchange market intervention and expectations: The yen/dollar exchange rate , 2005 .

[22]  Gabriele Galati,et al.  The effectiveness of foreign exchange intervention in emerging market countries , 2005 .

[23]  P. Brandner,et al.  Why Did Central Banks Intervene in ERM I? The Post-1993 Experience , 2005, IMF Staff Papers.

[24]  Ana María Herrera,et al.  A Dynamic Model of Central Bank Intervention , 2005 .

[25]  Takatoshi Ito.  Interventions and Japanese economic recovery , 2005 .

[26]  Effects of the Bank of Japan's intervention on yen/dollar exchange rate volatility , 2006 .

[27]  Eric Hillebrand,et al.  A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility , 2006 .

[28]  Artem Prokhorov.  Modeling Central Bank Intervention as a Threshold Regression: Evidence from Turkey , 2007 .

[29]  Takatoshi Ito,et al.  What prompts Japan to intervene in the Forex market? A new approach to a reaction function , 2007 .

[30]  Jongbyung Jun,et al.  Friction model and foreign exchange market intervention , 2008 .

[31]  Robert M. de Jong,et al.  Dynamic Censored Regression and the Open Market Desk Reaction Function , 2011 .