Akram, Q.F. (2004), Oil prices and exchange rates: Norwegian evidence, Econometrics Journal 7, 476–504.
Andrews, D.W.K. (1993), Tests for parameter instability and structural change with unknown change point, Econometrica 61, 821–856.
Andrews, D.W.K. and W. Ploberger (1994), Optimal tests when a nuisance parameter is present only under the alternative, Econometrica 62, 1383–1414.
Baele, L. (2005), Volatility spillover effects in European equity markets, Journal of Financial and Quantitative Analysis 40, 373–402.
Bai, J. and P. Perron (1998), Estimating and testing linear models with multiple structural changes, Econometrica 66, 47–78.
Barr, D., F. Breedon and D. Miles (2003), Life on the outside: economic conditions and prospects outside euroland, Economic Policy 18, 573–613. Bartram, S.M. and G.A. Karolyi (in press), The impact of the introduction of the euro on foreign exchange rate risk exposures, Journal of Empirical Finance.
Bartram, S.M., S.J. Taylor and Y.H. Wang (2005), The euro and European financial market integration, working paper, Lancaster University. Bauwens, L., S. Laurent, and J.V.K. Rombouts (in press), Multivariate GARCH models: A survey, Journal of Applied Econometrics.
Bauwens, L., D. Rime, and G. Sucarrat (2006), Exchange rate volatility and the mixture of distributions hypothesis, Empirical Economics 30, 889-911.
Bean, C. (1998), The new UK monetary arrangements: A view from the literature, The Economic Journal 108, 1795–1809.
Berben, R.-P. and W.J. Jansen (2005), Comovement in international equity markets: a sectoral view, Journal of International Money and Finance 24, 832–857.
- Bernhardsen, T. and Ø. Røisland (2000), Factors that influence the krone exchange rate, Norges Bank Economic Bulletin 4/2000.
Paper not yet in RePEc: Add citation now
Bollerslev, T. (1986), Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics 31, 307–327.
Bollerslev, T. (1990), Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach, Review of Economics and Statistics 72, 498– 505.
- Bollerslev, T. and J.M. Wooldridge (1992), Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews 11, 143–172.
Paper not yet in RePEc: Add citation now
- Bond, C.A. and M. Najand (2002), Volatility changes in European currency exchange rates due to EMS announcements, Global Finance Journal 13, 93–108.
Paper not yet in RePEc: Add citation now
- Bun, M.J.G. and F.J.G.M. Klaassen (2004), The euro effect on trade is not as large as commonly thought, Tinbergen Institute Discussion Paper 03-086/2.
Paper not yet in RePEc: Add citation now
Cappiello, L. R.F. Engle and K. Sheppard (2003), Asymmetric dynamics in the correlations of global equity and bond returns, European Central Bank Working paper No. 204.
- Chu, C.S.J. (1995), Detecting parameter shifts in GARCH models, Econometric Theory 14, 241–266.
Paper not yet in RePEc: Add citation now
Clements, M.P. (2004), Evaluating the Bank of England density forecasts of inflation, The Economic Journal 114, 844–866.
Darby, J., A.H. Hallett, J. Ireland and L. Piscitelli (1999), The impact of exchange rate uncertainty on the level of investment, The Economic Journal 109, 55-67.
- Detken, C. and P. Hartmann (2002), Features of the euro’s role in international financial markets, Economic Policy 17, 554–571.
Paper not yet in RePEc: Add citation now
Ehrmann, M. and M. Fratzscher (2005), Equal size, equal role? Interest rate interdependence between the euro area and the United States, The Economic Journal 115, 928–948.
Engel, C. and J.H. Rogers (2004), European product market integration after the euro, Economic Policy 19, 347–384.
- Engle, R.F. (2002), Dynamic conditional correlation - A simple class of multivariate GARCH models, Journal of Business and Economic Statistics 20, 339–350.
Paper not yet in RePEc: Add citation now
- Engle, R.F. and J. Gonzalo Rangel (2004), The spline GARCH model for unconditional volatility and its global macroeconomic causes, Working Paper No. SC-CFE-04-05, Center for Financial Econometrics, Salomon Center, NYU Stern School of Business.
Paper not yet in RePEc: Add citation now
- Engle, R.F. and J. Mezrich (1996), GARCH for groups, Risk 9, 36–40.
Paper not yet in RePEc: Add citation now
Engle, R.F. and Sheppard, K. (2001), Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, UCSD Discussion Paper No. 2001-15.
Fischer, A.M. (2002), Fluctuations in the Swiss Franc: What has changed since the euro’s introduction?, Journal of Public Policy 22, 143–159.
Fr ommel, M. and L. Menkhoff (2001), Risk reduction in the EMS? Evidence from trends in exchange rate properties, Journal of Common Market Studies 39, 285–306.
Guiso, L., T. Jappelli, M. Padula and M. Pagano (2004), Financial market integration and economic growth in the EU, Economic Policy 19, 523–577.
Hafner, C.M. and P.H. Franses (2003), A generalized dynamic conditional correlation model for many assets, Econometric Institute Report No. 2003-18, Erasmus University Rotterdam.
- Hafner, C.M., D. van Dijk and P.H. Franses (2006), Semiparametric modelling of correlation dynamics, in: D. Terrell and T.B. Fomby (eds.), Advances in Econometrics Vol. 20/A - Econometric Analysis of Financial and Economic Time Series, Amsterdam: Elsevier, pp. 59–103.
Paper not yet in RePEc: Add citation now
Hau, H., W. Killeen and M. Moore (2002), How has the euro changed the foreign exchange market?, Economic Policy 17, 149–191.
Honohan, P. and P.R. Lane (2003), Divergent inflation rates in EMU, Economic Policy 18, 357–394.
Kim, S.-J., F. Moshirian and E. Wu (2005), Dynamic stock market integration driven by the European Monetary Union: An empirical analysis, Journal of Banking and Finance 29, 2475–2502.
Kool, C.J. (2000), International bond markets and the introduction of the euro, Federal Reserve Bank of St. Louis Review, 41–56.
Kristensen, D. and O. Linton (2004), Consistent standard errors for target variance approach to GARCH estimation, Econometric Theory 20, 990–993.
Longin, F. and B. Solnik (1995), Is the correlation in international equity returns constant: 1960–1990?, Journal of International Money and Finance 14, 3–26. Lopez, C. and D.H. Papell (in press), Convergence to purchasing power parity at the commencement of the euro, Review of International Economics.
Micco, A., E. Stein and G. Ordo˜ nez (2003), The currency union effect on trade: early evidence from EMU, Economic Policy 18, 315–356.
Morana, C. and A. Beltratti (2002), The effects of the introduction of the euro on the volatility of European stock markets, Journal of Banking and Finance 26, 2047–2064.
Pagano, M. and E.-L. von Thadden (2004), The European bond markets under EMU, Oxford Review of Economic Policy 20, 531–554. Patton, A.J. (in press), Modelling asymmetric exchange rate dependence, International Economic Review.
Pelletier, D. (2006), Regime switching for dynamic correlations, Journal of Econometrics 131, 445–473.
Rich, G. (1997), Monetary targets as a policy rule: Lessons from the Swiss experience, Journal of Monetary Economics 39, 113–141.
Rollo, J. (2002), In or out: The choice for Britain, Journal of Public Policy 22, 217–238.
Silvennoinen, A. and T. Ter asvirta (2005), Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations, SSE/EFI Working Paper Series in Economics and Finance No. 577, Stockholm School of Economics.
- Tse, Y.K. and A.K.C. Tsui (2002), A multivariate GARCH model with time-varying correlations, Journal of Business and Economic Statistics 20, 351–362.
Paper not yet in RePEc: Add citation now
- Wilfling, B. (2002), Foreign exchange markets’ perceptions of EMU participation by Finland, France, Italy, and Portugal, working paper, Westf alische Wilhelms-Universit at M unster.
Paper not yet in RePEc: Add citation now