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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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Nonlinear exchange rate dynamics and its associated Value-at-Risk
Laio, Jen-chieh; Pan, Sheng-chieh; Wu, Po-chin - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 705-714
Persistent link: https://www.econbiz.de/10010363138
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Spillovers in exchange rates and the effects of global shocks on emerging market currencies
Kavli, Haakon; Kotzé, Kevin - In: The South African journal of economics 82 (2014) 2, pp. 209-238
Persistent link: https://www.econbiz.de/10010501387
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Spurious long memory, uncommon breaks and the implied-realized volatility puzzle
Kellard, Neil M.; Jiang, Ying; Wohar, Mark E. - In: Journal of international money and finance 56 (2015), pp. 36-54
Persistent link: https://www.econbiz.de/10011477872
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Structural changes in volatility of foreign exchange rates after the Asian financial crisis
Nakatsuma, Teruo - In: Asia-Pacific financial markets 7 (2000) 1, pp. 69-82
Persistent link: https://www.econbiz.de/10001506576
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Change in volatility in the won US dollar daily exchange rate : stochastic volatility model
Lee, Jinsoo - In: Asia-Pacific financial markets 7 (2000) 1, pp. 83-96
Persistent link: https://www.econbiz.de/10001506579
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873