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Volatility comovement : a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - 2004

Persistent link: https://www.econbiz.de/10002195944

Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215

Persistent link: https://www.econbiz.de/10003298573

Multifractality of Deutschemark US dollar exchange rates

Fisher, Adlai; Calvet, Laurent E.; Mandelbrot, Benoît B. - 1997

Persistent link: https://www.econbiz.de/10000974392

The exchange rate and purchasing power parity : extending the theory and tests

Apte, Prakash Gajanan; Sercu, Piet; Uppal, Raman - In: Journal of international money and finance 23 (2004) 4, pp. 553-571

Persistent link: https://www.econbiz.de/10002088053

Exchange rate volatility, trade, and capital flows under alternative exchange rate regimes

Sercu, Piet; Uppal, Raman - 2000 - 1. publ.

Persistent link: https://www.econbiz.de/10001483580

The exchange rate and purchasing power parity : extending the theory and tests

Apte, Prakash Gajanan (contributor); Sercu, Piet (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700368

The exchange rate and purchasing power parity : extending the theory and tests

Apte, Prakash Gajanan; Sercu, Piet; Uppal, Raman - 2001

Persistent link: https://www.econbiz.de/10001620659

An examination of uncovered interest rate parity in segmented international commodity markets

Hollifield, Burton - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2145-2170

Persistent link: https://www.econbiz.de/10001232325

The exchange rate and purchasing power parity : extending the theory and tests

Apte, Prakash - 2002

Persistent link: https://www.econbiz.de/10013423933

Volatility Comovement : A Multifrequency Approach

Calvet, Laurent E. - 2004

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10012467993