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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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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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The European Monetary Union break-up : an economic experiment on the return of the deutsche mark
Mönnig, Anke - In: Economic systems research : journal of the … 28 (2016) 4, pp. 497-517
Persistent link: https://www.econbiz.de/10011583845
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A global multi-sectoral model in local currencies
Yano, Takashi - 2018
Persistent link: https://www.econbiz.de/10011961361
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Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies
Živkov, Dejan; Njegić, Jovan; Milenković, Ivan - In: Finance a úvěr 65 (2015) 6, pp. 477-498
Persistent link: https://www.econbiz.de/10011415785
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Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts
Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142
Persistent link: https://www.econbiz.de/10011375830
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Dynamics of stock prices and exchange rates relationship : evidence from five Sub-Saharan African financial markets
Ndako, Umar Bida - In: Journal of African business 14 (2013) 1/3, pp. 47-57
Persistent link: https://www.econbiz.de/10010246235
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Cointegration between exchange rate volatility and key macroeconomic fundamentals : evidence from Nigeria
Udoh, Edet Joshua; Akpan, Sunday Brownson; John, Daniel Etim - In: Modern economy 3 (2012) 7, pp. 846-855
Persistent link: https://www.econbiz.de/10010201989
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Volatility spillover in the foreign exchange market : the Indian experience
Ghosh, Saurabh - In: Macroeconomics and finance in emerging market economies 7 (2014) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10010339176