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Modeling volatility dynamics

Diebold, Francis X.; García López, José A. - 1995

Persistent link: https://www.econbiz.de/10000920972

Testing for spurious causality (with an application to exchange rates)

Renault, Eric - 1994

Persistent link: https://www.econbiz.de/10000901028

Global foreign exchange market efficiency

Lajaunie, John P. - 1992

Persistent link: https://www.econbiz.de/10000908852

Modeling volatility dynamics

Diebold, Francis X.; Lopez, Jose A. - 1995

Persistent link: https://www.econbiz.de/10000587223

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Frequency domain analysis of foreign exchange order flows

Gradojevic, Nikola - In: Economics letters 115 (2012) 1, pp. 73-76

Persistent link: https://www.econbiz.de/10009615315

Modeling volatility dynamics

Diebold, Francis X.; López, José A. - 1995

Persistent link: https://www.econbiz.de/10000945662

Forecasting Implied Volatility in Foreign Exchange Markets : A Functional Times Series Approach

Kearney, Fearghal - 2016

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...

Persistent link: https://www.econbiz.de/10013004985

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807

Forecasting implied volatility in foreign exchange markets : a functional time series approach

Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: The European journal of finance 24 (2018) 1/3, pp. 1-18

Persistent link: https://www.econbiz.de/10012244257

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