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The impact of exchange rates and developing country debt on commodity prices

Gilbert, Christopher L. - 1986

Persistent link: https://www.econbiz.de/10000720569

The response of primary commodity prices to exchange rate changes

Gilbert, Christopher L. - 1990 - Rev

Persistent link: https://www.econbiz.de/10000133886

The impact of exchange rates and developing country debt on commodity prices

Gilbert, Christopher L. - In: The economic journal : the journal of the Royal … 99 (1989) 397, pp. 773-784

Persistent link: https://www.econbiz.de/10015103056

Range-based covariance estimation with a view to foreign exchhange rates

Brunetti, Celso (contributor); Lildholt, Peter (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001638915

Time series modelling of daily log-price ranges for SF/USD and USD/GBP

Brunetti, Celso (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001719176

Return-based and range-based (co)viariance estimation : with an application to foreign exchange markets

Brunetti, Celso (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001724261

Time series modeling of daily log-price ranges for CHF/USD and USD/GBP

Brunetti, Celso; Lildholdt, Peter M. - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 39-59

Persistent link: https://www.econbiz.de/10003673308

Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets

Brunetti, Celso; Lildholdt, Peter M. - 2002

This paper analyzes and compares range-based and return-based variance/covariance estimates. We provide new results on the relative efficiency of the range. We show that the use of the range is compatible with time varying volatilities and we extend the range to a multivariate setup. A new...

Persistent link: https://www.econbiz.de/10014121356

Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp

Brunetti, Celso; Lildholdt, Peter M. - 2002

The aim of this paper is to model the dynamic evolution of daily log-price ranges for two foreign exchange rates, SF/USD and USD/GBP. Following Chou (2001),we adopt the CARR model, which is identical to the ACD model of Engle & Russell (1998). Log-price ranges are highly efficient measures of...

Persistent link: https://www.econbiz.de/10014113375