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Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

Persistent link: https://www.econbiz.de/10000168636

The extended switching regression model : allowing for multiple latent state variables

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: Journal of forecasting 26 (2007) 7, pp. 457-473

Persistent link: https://www.econbiz.de/10003593886

Extended switiching regression models with time-varying probabilities for combining forecasts

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: The European journal of finance 12 (2006) 6/7, pp. 455-472

Persistent link: https://www.econbiz.de/10003382811

Estimating the functional components of asset price volatilities

Heid, Frank - 1997

Persistent link: https://www.econbiz.de/10000978817

A quantile regression approach to estimating the distribution of multiperiod returns

Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78

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Nonlinear relationship between exchange rate volatility and economic growth

Phiri, Andrew - 2018

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

Persistent link: https://www.econbiz.de/10011870188