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Intervention policy of the BoJ : a unified approach

Beine, Michel; Bernal, Oscar; Gnabo, Jean-Yves; … - In: Journal of banking & finance 33 (2009) 5, pp. 904-913

Persistent link: https://www.econbiz.de/10003836451

Intervention policy of the BoJ : a unified approach

Beine, Michel; Bernal, Oscar; Gnabo, Jean-Yves; … - 2007

Persistent link: https://www.econbiz.de/10003462353

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

Consistent ranking of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009

Persistent link: https://www.econbiz.de/10003850918

On the univariate representation of multivariate volatility models with common factors

Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011

Persistent link: https://www.econbiz.de/10008840656

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

Econometric modeling of exchange rate volatility and jumps

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

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

On the univariate representation of BEKK models with common factors

Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012

Persistent link: https://www.econbiz.de/10009515469

Structural change and long memory in volatility : new evidence from daily exchange rates

Beine, Michael; Laurent, Sébastien - In: Developments in forecast combination and portfolio choice, (pp. 145-157). 2001

Persistent link: https://www.econbiz.de/10001719131

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