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Did the Bank of Mexico follow a systematic behaviour in its transition to an inflation targeting regime?
Garcia-Iglesias, Jesus M.; Muñoz Torres, Rebeca; … - In: Applied financial economics 23 (2013) 13/15, pp. 1205-1213
Persistent link: https://www.econbiz.de/10010204778
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Volatility transmission across currencies and stock markets : GIIPS in crisis
Andrikopulos, Andreas A.; Samitas, Aristeidis; … - In: Applied financial economics 24 (2014) 19/21, pp. 1261-1283
Persistent link: https://www.econbiz.de/10010460183
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Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003
Persistent link: https://www.econbiz.de/10009317447
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Interest rate volatility, exchange rates, and external contagion
Suliman, Mohamed Osman - In: Applied financial economics 15 (2005) 12, pp. 883-894
Persistent link: https://www.econbiz.de/10003070787
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The information content of analysts reports and bankruptcy risk measures
Parnes, Dror - In: Applied financial economics 20 (2010) 19/21, pp. 1499-1513
Persistent link: https://www.econbiz.de/10009011597
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Distribution of extreme changes in Asian currencies : tail index estimates and value-at-risk calculations
Aggarwal, Raj; Qi, Min - In: Applied financial economics 19 (2009) 13/15, pp. 1083-1102
This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the...
Persistent link: https://www.econbiz.de/10003886004
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Estimation of value-at-risk under jump dynamics and asymmetric information
Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106
Persistent link: https://www.econbiz.de/10003213436
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Investor perceptions and volatility within a risk-return framework
Berger, Dave - In: Applied financial economics 20 (2010) 13/15, pp. 1003-1010
Persistent link: https://www.econbiz.de/10009010335
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Extreme value modelling for forecasting market crisis impacts
Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco - In: Applied financial economics 20 (2010) 1/3, pp. 63-72
Autoregressive Conditional Heteroscedasticity (GARCH) volatility model with a novel extreme value mixture model for the innovations …
Persistent link: https://www.econbiz.de/10003935971
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Sovereign risk and its changing effects on bond duration during financial crisis
Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: Applied financial economics 24 (2014) 22/24, pp. 1465-1477
Persistent link: https://www.econbiz.de/10010460096