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Estimating the dynamics of foreign currency volatility

Fung, William - In: Review of futures markets 10 (1993) 3, pp. 490-514

Persistent link: https://www.econbiz.de/10001143660

Modeling heteroscedasticity in daily foreign-exchange rates

Hsieh, David A. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 3, pp. 307-317

Persistent link: https://www.econbiz.de/10001069384

Adjusting for the intervalling effect bias in beta : a test using Paris Bourse data

Fung, William - In: Journal of banking & finance 9 (1985) 3, pp. 443-460

Persistent link: https://www.econbiz.de/10001024397

Estimation of stochastic volatility models with diagnostics

Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192

Persistent link: https://www.econbiz.de/10001336798

Estimation of Stochastic Volatility Models with Diagnostics

Gallant, A. Ronald; Hsieh, David A.; Tauchen, George - 2008

Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that...

Persistent link: https://www.econbiz.de/10014075693