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Cointegration and common trends on the West German labour market
Carstensen, Kai; Hansen, Gerd - In: Empirical economics : a journal of the Institute for … 25 (2000) 3, pp. 475-493
Persistent link: https://www.econbiz.de/10001502476
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The trade and FDI effects of EMU enlargement
Brouwer, Jelle; Paap, Richard; Viaene, Jean-Marie - 2007
investment and a relationship between trade and exchange rate volatility that depend on the sign of bilateral trade balances …
Persistent link: https://www.econbiz.de/10011372974
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
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Exchange rate risk and uncertainty and trade flows: asymmetric evidence from Asia
Bahmani-Oskooee, Mohsen; Akhtar, Parveen; Ullah, Sana; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/128, pp. 1-16
Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was …
Persistent link: https://www.econbiz.de/10012309080
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The role of credit constraints and government subsidies in farmland valuations in the US : an options pricing model approach
Mishra, Ashok K.; Moss, Charles B.; Erickson, Kenneth W. - In: Empirical economics : a journal of the Institute for … 34 (2008) 2, pp. 285-297
Persistent link: https://www.econbiz.de/10003674879
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …
Persistent link: https://www.econbiz.de/10011479769
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The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus
Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16
the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …
Persistent link: https://www.econbiz.de/10013161866