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On the nonstationarity of the exchange rate process
Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - 2010
Persistent link: https://www.econbiz.de/10008841895
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On the nonstationarity of the exchange rate process
Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34
Persistent link: https://www.econbiz.de/10009690133
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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …
Persistent link: https://www.econbiz.de/10009561617
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
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Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - In: European journal of operational research : EJOR 265 (2018) 2, pp. 685-702
Persistent link: https://www.econbiz.de/10011811481
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Estimating stochastic discount factor models with Hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - 2017 - This version: June, 2017
Persistent link: https://www.econbiz.de/10011803253
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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The role of temperature in economic exchange : an empirical analysis
Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89
Persistent link: https://www.econbiz.de/10011373218