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Conditional volatility, skewness, and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001534321
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Conditional volatility, skewness and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001526562
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
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Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence
Jondeau, Eric - 2010
Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis …. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our … framework builds on a GARCH model with a condi-tional generalized-t distribution for residuals. We compute the skewness and …
Persistent link: https://www.econbiz.de/10013134839
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Relationship between volatilities of stock market and instruments of monetary policy in Vietnam
Tran Phuong Thao; Phan Chung Thuy - In: Journal of economic development 22 (2015) 1, pp. 82-99
Persistent link: https://www.econbiz.de/10011564408
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Economic policy in India : for economic stimulus, or for austerity and volatility?
Sen, Sunanda; DasGupta, Zico - 2014
volatility and macroeconomic instability in the midst of the global recession. …
Persistent link: https://www.econbiz.de/10010385761
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The consequences of exchange rate fluctuations on Nigeria's economic performance : an autoregressive distributed lag (ARDL) approach
Iheanachor, Nkemdilim; Ozegbe, Azuka Elvis - In: International journal of management, economics and … 10 (2021) 2/3, pp. 68-87
This study examined the effects of persistent exchange rate fluctuations on Nigeria's economic performance. It was motivated by the quest to ascertain why concerted efforts of the monetary authorities in Nigeria to pursue internal and external balances yielded little or no positive results in...
Persistent link: https://www.econbiz.de/10012705698
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The impacts of interest rate and exchange rate volatilities on the demand for money in developing economies
Nyumuah, Felix S. - In: International journal of economics and finance 10 (2018) 3, pp. 56-69
Persistent link: https://www.econbiz.de/10011817986
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A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008
Benavides, Guillermo; Capistrán Carmona, Carlos - 2009
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …
Persistent link: https://www.econbiz.de/10003893830
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The interest rate - exchange rate nexus : exchange rate regimes and policy equilibria
Himmels, Christoph; Kirsanova, Tatiana - 2009
understand sudden change of the interest rate and exchange rate volatility in "tranquil" and "volatile" regimes even under a …
Persistent link: https://www.econbiz.de/10003897457