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~subject:"Foreign exchange market"
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Tails, fears and risk premia
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Foreign exchange market
Volatilität
200
Volatility
199
Theorie
130
Theory
129
Schätzung
98
Capital income
97
Estimation
97
Kapitaleinkommen
97
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70
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70
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66
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66
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64
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64
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63
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61
Estimation theory
48
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48
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46
Risk premium
46
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44
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44
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35
high-frequency data
35
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34
Ankündigungseffekt
30
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30
Announcement effect
29
Exchange rate
28
Nichtparametrisches Verfahren
28
Nonparametric statistics
28
Wechselkurs
28
High-frequency data
24
Risk
24
Aktienmarkt
23
Deutschland
23
jumps
23
Devisenmarkt
22
Germany
22
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7
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English
22
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Bollerslev, Tim
22
Andersen, Torben
8
Diebold, Francis X.
8
Vega, Clara
8
Andersen, Torben G.
5
Baillie, Richard
4
Das, Ashish
2
Domowitz, Ian
2
Redfearn, Michael R.
2
Anderson, Torben G.
1
Melvin, Michael
1
Wang, Jian-xin
1
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National Bureau of Economic Research
2
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1
Rodney L. White Center for Financial Research
1
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The journal of finance : the journal of the American Finance Association
3
Working paper / National Bureau of Economic Research, Inc.
3
Journal of international economics
2
Journal of international money and finance
2
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2
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2
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1
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1
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ECONIS (ZBW)
21
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1
Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model
Bollerslev, Tim
- In:
The review of economics and statistics
72
(
1990
)
3
,
pp. 498-505
Persistent link: https://www.econbiz.de/10001093160
Saved in:
2
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Baillie, Richard
;
Bollerslev, Tim
;
Redfearn, Michael R.
-
1991
Persistent link: https://www.econbiz.de/10000823527
Saved in:
3
Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Anderson, Torben G.
;
Bollerslev, Tim
;
Das, Ashish
-
1998
Persistent link: https://www.econbiz.de/10000673940
Saved in:
4
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
5
Intra-day and inter-market volatility in foreign exchange rates
Baillie, Richard
- In:
The review of economic studies
58
(
1991
)
4
,
pp. 565-585
Persistent link: https://www.econbiz.de/10001114302
Saved in:
6
Bid-ask spreads and volatility in the foreign exchange market : an empirical analysis
Bollerslev, Tim
- In:
Journal of international economics
36
(
1994
)
3
,
pp. 355-372
Persistent link: https://www.econbiz.de/10001163559
Saved in:
7
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Baillie, Richard
- In:
Journal of international money and finance
12
(
1993
)
5
,
pp. 511-521
Persistent link: https://www.econbiz.de/10001149594
Saved in:
8
Trading patterns and prices in the interbank foreign exchange market
Bollerslev, Tim
- In:
The journal of finance : the journal of the American …
48
(
1993
)
4
,
pp. 1421-1443
Persistent link: https://www.econbiz.de/10001152108
Saved in:
9
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
- In:
The journal of finance : the journal of the American …
52
(
1997
)
3
,
pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Saved in:
10
The long memory of the forward premium
Baillie, Richard
- In:
Journal of international money and finance
13
(
1994
)
5
,
pp. 565-571
Persistent link: https://www.econbiz.de/10001171001
Saved in:
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