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Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

Demand for international reserves

Khan, Mohammed Y. - In: Journal of foreign exchange and international finance : … 4 (1990) 4, pp. 351-359

Persistent link: https://www.econbiz.de/10001111558

Impulse response function for conditional volatility in GARCH models

Lin, Wen-ling Tsai - 1994

Persistent link: https://www.econbiz.de/10000896902

Non-parametric estimates of the foreign exchange and equity risk premia and tests of market efficiency

Wickens, Michael R.; Thomas, Stephen - 1989

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Modeling volatility dynamics

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

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

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

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Australian evidence on volatility estimation in the context of foreign exchange markets

Hartnett, Neil; Salimsyah, Ernawan Rahmat; Winsen, Joseph K. - In: International economics & finance journal : (IEFJ) 1 (2006) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10003791193

Price discovery on foreign exchange markets with differentially informed traders

Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10011301161

Testing black market vs. official PPP : a pooled mean group estimation approach

Goswami, Gour G.; Hossain, Mohammad Zariab - In: The empirical economics letters : a monthly … 12 (2013) 12, pp. 1291-1300

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Using conditional Copula to estimate value-at-risk in Vietnam's foreign exchange market

Nguyen, Vu-Linh; Huynh, Van-Nam - In: Econometrics of risk, (pp. 471-482). 2015

Persistent link: https://www.econbiz.de/10010498494

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