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Target zones and conditional volatility : an ARCH application to the EMS

Neely, Christopher J. - 1993

Persistent link: https://www.econbiz.de/10000897484

Forecasting foreign exchange volatility : why is implied volatility biased and inefficient? ; and does it matter?

Neely, Christopher J. - In: Journal of international financial markets, … 19 (2009) 1, pp. 188-205

Persistent link: https://www.econbiz.de/10003797288

Target zones and conditional volatility : the role of realignments

Neely, Christopher J. - In: Journal of empirical finance 6 (1999) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10001426341

Forecasting in the presence of structural breaks and model uncertainty

Rapach, David E. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003731593

Structural breaks and GARCH models of exchange rate volatility

Rapach, David E.; Strauss, Jack - In: Journal of applied econometrics 23 (2008) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10003682842

Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

Guo, Hui (contributor); Neely, Christopher J. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003739615

Econometric modeling of exchange rate volatility and jumps

Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - 2012

Persistent link: https://www.econbiz.de/10009522869

Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

Guo, Hui; Neely, Christopher J. - In: Economics letters 99 (2008) 2, pp. 371-374

Persistent link: https://www.econbiz.de/10003723835

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

Econometric Modeling of Exchange Rate Volatility and Jumps

Erdemlioglu, Deniz - 2012

This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early...

Persistent link: https://www.econbiz.de/10013107841