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Finanzinnovationen und Basisobjekte : die Aufnahme des Optionshandels an der Deutschen Terminbörse
Stöhr, Norbert - 1995
Persistent link: https://www.econbiz.de/10000913483
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Nonlinear adjustments of volatility expectations to forecast errors : evidence from Markov-Regime switches in implied volatility
Nishina, Kazuhiko; Maghrebi, Nabil; Holmes, Mark J. - In: Review of Pacific Basin financial markets and policies 15 (2012) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009671277
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The effects of Central Bank intervention on the volatility of exchange rates : evidence from the options market
Ko, Jong-moon - In: The Korean economic review 11 (1996) 2, pp. 141-155
Persistent link: https://www.econbiz.de/10001250687
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Time-varying exchange rate pass-through : experiences of some industrial countries
Sekine, Toshitaka - 2006
stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …
Persistent link: https://www.econbiz.de/10003305303
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Comparing high frequency data of stocks that are traded simultaneously in the US and Germany : simulated versus empirical data
Rieger, Jörg; Rüchardt, Kirsten; Vogt, Bodo - In: Eurasian economic review : a journal of the Eurasia … 1 (2011) 2, pp. 126-142
Persistent link: https://www.econbiz.de/10010340017
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A tale of two countries: a comparison of the aggregate effects of sectoral reallocation in the United States and Germany
Reicher, Christopher Phillip - 2011
stochastic volatility model of sectoral employment growth. Reallocative shocks have no effect on the natural rate of unemployment … volatility …
Persistent link: https://www.econbiz.de/10009232258
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10001636757