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The distribution of exchange rate volatility
Andersen, Torben (contributor) - 1999
Persistent link: https://www.econbiz.de/10001427024
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Modeling and forecasting realized volatility
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
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Modeling and forecasting realized volatility
Anderson, Torben G. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001547064
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The distribution of exchange rate volatility
Andersen, Torben M. (contributor) - 1999
Persistent link: https://www.econbiz.de/10001463948
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Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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Modeling and forecasting realized volatility
Andersen, Torben (contributor) - 2001
Persistent link: https://www.econbiz.de/10001561837
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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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High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities
Baillie, Richard; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267
Persistent link: https://www.econbiz.de/10001636386
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Persistent link: https://www.econbiz.de/10001470372
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
Persistent link: https://www.econbiz.de/10003931070