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Markov switching GARCH models of currency turmoil in Southeast Asia

Brunetti, Celso; Scotti, Chiara; Mariano, Roberto S.; … - In: Emerging Markets Review 9 (2008) 2, pp. 104-128

This paper analyzes exchange rate turmoil with a Markov switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime,...

Persistent link: https://www.econbiz.de/10005082140

Bank lending and real estate in Asia: market optimism and asset bubbles

Koh, Winston T.H.; Mariano, Roberto S.; Pavlov, Andrey; … - In: Journal of Asian Economics 15 (2005) 6, pp. 1103-1118

Persistent link: https://www.econbiz.de/10005326106

Surprise and uncertainty indexes : real-time aggregation of real-activity macro-surprises

Scotti, Chiara - In: Journal of monetary economics 82 (2016), pp. 1-19

Persistent link: https://www.econbiz.de/10011709471

Economic volatility and financial markets : The case of mortgage‐backed securities

Antinolfi, Gaetano; Brunetti, Celso - In: Financial Markets, Institutions & Instruments 28 (2019) 2, pp. 85-113

Persistent link: https://www.econbiz.de/10012090166

Counterparty risk in over-the-counter markets

Frei, Christoph; Capponi, Agostino; Brunetti, Celso - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 3, pp. 1058-1082

Persistent link: https://www.econbiz.de/10013187330

High frequency traders and the price process

Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012482736

Speculators, prices, and market volatility

Brunetti, Celso; Buyuksahin, Bahattin; Harris, Jeffrey H. - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 5, pp. 1545-1574

Persistent link: https://www.econbiz.de/10011665133

Interconnectedness in the interbank market

Brunetti, Celso; Harris, Jeffrey H.; Mankad, Shawn; … - In: Journal of financial economics 133 (2019) 2, pp. 520-538

Persistent link: https://www.econbiz.de/10012165590

Trading networks

Adamic, Lada; Brunetti, Celso; Harris, Jeffrey H.; … - In: The econometrics journal 20 (2017) 3, pp. 126-149

Persistent link: https://www.econbiz.de/10011804985

OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil

Brunetti, Celso; Buyuksahin, Bahattin; Robe, Michel A.; … - In: The Energy Journal Volume 34 (2013) Number 4

Persistent link: https://www.econbiz.de/10010857009