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Exchange rate fluctuations, market structure and the pass-through relationship

Herguera, Iñigo - 1993

Persistent link: https://www.econbiz.de/10000865571

Some new results on GARCH : exact formulas for the 2nd moments of the squared errors

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Semi-parametric modelling of the term structure

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Incomplete cost pass-through under deep habits

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A mixture multiplicative error model for realized volatility

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Labor Hoarding and inventories

Wen, Yi (contributor) - 2005 - rev.

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Identifying monetary policy shocks via changes in volatility

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DSGE models of high exchange-rate volatility and low pass-trough

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The effect of a transaction tax on exchange rate volatility

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Modelling the MIB30 implied volatility surface : does efficiency matter?

Cassese, Gianluca (contributor); … - 2005

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that...

Persistent link: https://www.econbiz.de/10002917585