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Success and failure of technical trading strategies in the cocoa futures market

Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2001

-study suggests a connectionbetween the succes or failure of technical trading and the relative magnitudesof trend and volatility of …

Persistent link: https://www.econbiz.de/10011313922

Post-sample prediction tests for the efficient method of moments

Sluis, Pieter J. van der - 1997

Persistent link: https://www.econbiz.de/10000961545

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

Persistent link: https://www.econbiz.de/10003645209

Real effective exchange rate volatility and growth: A framework to measure advantages of flexibility vs. costs of volatility

Bagella, Michele; Becchetti, Leonardo; Hasan, Iftekhar - In: Journal of banking & finance 30 (2006) 4, pp. 1149-1169

Persistent link: https://www.econbiz.de/10003310239

Interventions in the yen-dollar spot market: a story of price, volatility and volume

Kim, Suk-Joong; Sheen, Jeffrey R. - In: Journal of banking & finance 30 (2006) 11, pp. 3191-3214

Persistent link: https://www.econbiz.de/10003386444

Volatility transmission in emerging European foreign exchange markets

Bubák, Vít; Kočenda, Evžen; Žikeš, Filip - In: Journal of banking & finance 35 (2011) 11, pp. 2829-2841

Persistent link: https://www.econbiz.de/10009373151

A cyclical model of exchange rate volatility

Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - In: Journal of banking & finance 35 (2011) 11, pp. 3055-3064

Persistent link: https://www.econbiz.de/10009374618

Exchange rate volatility across financial crises

Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - In: Journal of banking & finance 35 (2011) 11, pp. 3010-3018

Persistent link: https://www.econbiz.de/10009374634

Order flow, bid–ask spread and trading density in foreign exchange markets

Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of banking & finance 36 (2012) 2, pp. 597-612

Persistent link: https://www.econbiz.de/10009511764

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080