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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

Re-examining the Turkish stock market efficiency : evidence from nonlinear unit root tests

Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlıoğlu, Şaban - In: Economic modelling 38 (2014), pp. 381-384

Persistent link: https://www.econbiz.de/10010419047

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849