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dc.contributor.authorCotter, John
dc.date.accessioned2006-09-19T14:18:48Z
dc.date.available2006-09-19T14:18:48Z
dc.date.issued2000
dc.identifier.citationCotter, John. 'Volatility and the Euro: an Irish perspective' - Dublin: Journal of the Statistical and Social Inquiry Society of Ireland,Vol. XXIX, 1999/2000, pp83-115en
dc.identifier.issn00814776
dc.identifier.otherJEL C320
dc.identifier.otherJEL F310
dc.identifier.otherJEL G150
dc.identifier.otherY
dc.identifier.urihttp://hdl.handle.net/2262/1477
dc.descriptionRead before the Society, 17 February 2000en
dc.description.abstractHow volatile is the euro currency? Given Ireland?s open economy status and its strong trading dependency on economies outside the euro area, understanding this question is vital. The paper analyses the volatility levels facing Irish economic agents by comparing the experiences from membership of the European Monetary System (EMS) through to the new single currency. The focus is on measuring volatility using two methodologies - Conditional Variance GARCH models and Extreme Value Theory models. It shows that whilst average volatility levels of the euro exceed the Irish pound?s experience within the EMS, the probability that fluctuations such as those that arose during the currency crises of 1992/93 now appear less likely to occur.en
dc.format.extent289251 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherStatistical and Social Inquiry Society of Irelanden
dc.relation.ispartofseriesJournal of the Statistical and Social Inquiry Society of Irelanden
dc.relation.ispartofseriesVol. XXIX, 1999/2000, pp83-115en
dc.sourceJournal of The Statistical and Social Inquiry Society of Ireland
dc.source.urihttp://www.ssisi.ie
dc.subjectCurrency Volatilityen
dc.subjectGARCHen
dc.subjectExtreme Value Theoryen
dc.subject.ddc314.15
dc.titleVolatility and the Euro: an Irish perspectiveen
dc.typeJournal articleen
dc.status.refereedYes


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