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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 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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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
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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
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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Handbook of research methods and applications in …, (pp. 373-427). 2013
Persistent link: https://www.econbiz.de/10011897548
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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
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Consistent ranking of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009
Persistent link: https://www.econbiz.de/10003850918
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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - 2012
Persistent link: https://www.econbiz.de/10009522869
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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
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Asymmetric adjustment costs in labour demand models with empirical evidence for the Dutch and UK manufacturing sectors
Pfann, Gerard A.; Palm, Franz C. - 1990
Persistent link: https://www.econbiz.de/10000899849