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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003740039
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Central bank FOREX interventions assessed using realized moments
Beine, Michel; Laurent, Sébastien; Palm, Franz C. - In: Journal of international financial markets, … 19 (2009) 1, pp. 112-127
Persistent link: https://www.econbiz.de/10003797277
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - In: International journal of finance & economics : IJFE 12 (2007) 2, pp. 201-223
Persistent link: https://www.econbiz.de/10003542897
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Central Bank forex interventions assessed using realized moments
Beine, Michel; Laurent, Sébastien; Palm, Franz C. - 2004
Persistent link: https://www.econbiz.de/10002059295
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Have sequential interventions of central banks in foreign exchange been effective?
Beine, Michel; Laurent, Sébastien; Palm, Franz C. - In: De economist : Netherlands economic review ; quarterly … 152 (2004) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10002039083
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Central bank forex interventions assesses using realized moments
Beine, Michel; Laurent, Sébastien; Palm, Franz C. - 2003
Persistent link: https://www.econbiz.de/10001882686
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - In: International Journal of Finance & Economics 12 (2007) 2, pp. 201-223
We analyse the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bi-power variation to decompose this volatility into a continuously varying...
Persistent link: https://www.econbiz.de/10005200888
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Central bank FOREX interventions assessed using realized moments
Beine, Michel; Laurent, Sébastien; Palm, Franz C. - In: Journal of international financial markets, … 19 (2009) 1, pp. 112-127
Persistent link: https://www.econbiz.de/10008162932
Cover Image
Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - In: International journal of finance & economics : IJFE 12 (2007) 2, pp. 201-224
Persistent link: https://www.econbiz.de/10007724763
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - Federal Reserve Bank of St. Louis - 2007
We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...
Persistent link: https://www.econbiz.de/10005707729