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Switching volatility in a nonlinear open economy
Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31
Persistent link: https://www.econbiz.de/10012795525
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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of international money and finance 50 (2015), pp. 78-107
Persistent link: https://www.econbiz.de/10010465421
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The role of jumps and leverage in forecasting volatility in international equity markets
Buncic, Daniel; Gisler, Katja Ida Maria - In: Journal of international money and finance 79 (2017), pp. 1-19
Persistent link: https://www.econbiz.de/10011788346
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State-dependent exchange rate pass-through behavior
Donayre, Luiggi; Panovska, Irina - In: Journal of international money and finance 64 (2016), pp. 170-195
Persistent link: https://www.econbiz.de/10011668387
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Asymmetric volatility connectedness on the forex market
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: Journal of international money and finance 77 (2017), pp. 39-56
Persistent link: https://www.econbiz.de/10011788089
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Spurious long memory, uncommon breaks and the implied-realized volatility puzzle
Kellard, Neil M.; Jiang, Ying; Wohar, Mark E. - In: Journal of international money and finance 56 (2015), pp. 36-54
Persistent link: https://www.econbiz.de/10011477872
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Regime-switching in emerging market business cycles : interest rate volatility and sudden stops
Reyes-Heroles, Ricardo; Tenorio, Gabriel - In: Journal of international money and finance 93 (2019), pp. 81-100
Persistent link: https://www.econbiz.de/10012138617
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The effect of intervention frequency on the foreign exchange market : the Japanese experience
Hoshikawa, Takeshi - In: Journal of international money and finance 27 (2008) 4, pp. 547-559
Persistent link: https://www.econbiz.de/10003717306