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Implied exchange rate distributions : evidence from OTC option markets

Campa, José Manuel - In: Journal of international money and finance 17 (1998) 1, pp. 117-160

Persistent link: https://www.econbiz.de/10001338367

The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns

Mohy El Din, Tarek - 1997

Persistent link: https://www.econbiz.de/10000623956

Is exchange rate volatility excessive? : An ARCH and AR approach

Edmonds, Radcliffe G.; So, Jacky C. - In: The quarterly review of economics and finance : journal … 44 (2004) 1, pp. 122-154

Persistent link: https://www.econbiz.de/10001961781

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

Audrino, Francesco; Trojani, Fabio - 2003

This paper proposes a double tree structured AR-GARCH model for the analysis of stock index return series, which extends previous approaches to incorporate (i) an arbitrary number of multivariate thresholds in conditional means and volatilities of stock index returns and (ii) a richer...

Persistent link: https://www.econbiz.de/10014089647

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001945539

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

Persistent link: https://www.econbiz.de/10003670896

A Flexible Dynamic Correlation Model

Baur, Dirk G. - 2009

Existing multivariate GARCH models either impose strong restrictions on the parameters or do not guarantee a well-defined (positive definite) covariance matrix. I discuss all main Multivariate GARCH models and focus on the BEKK model for which it is shown that the covariance and correlation is...

Persistent link: https://www.econbiz.de/10014089465

Are German-type universal banks superior in performance to other types of universal banks?

Sul, Wonsik; Oh, Joon Seok - In: Journal of financial management and analysis : … 12 (1999) 2, pp. 18-29

Persistent link: https://www.econbiz.de/10001487450

International interest rate mechanisms in bank lending and borrowing markets

Chatrath, Arjun - In: The global structure of financial markets : an overview, (pp. 274-286). 1997

Persistent link: https://www.econbiz.de/10001297696