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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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Volatility transmission in global financial markets
Clements, Adam; Hurn, Stan; Volkov, V. V. - In: Journal of empirical finance 32 (2015), pp. 3-18
Persistent link: https://www.econbiz.de/10011556742
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The frequency of regime switching in financial market volatility
BenSaïda, Ahmed - In: Journal of empirical finance 32 (2015), pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
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Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo; Lin, Jin-Guan; Zhao, Yan-Yong; Hao, Hong-Xia - In: Journal of empirical finance 33 (2015), pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
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Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111
Persistent link: https://www.econbiz.de/10011557073