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A range-based multivariate stochastic volatility model for exchange rates

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Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic

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Poisson jumps and long memory volatility process in high frequency European exchange rates

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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

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Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

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Daily exchange rate behaviour and hedging of currency risk

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methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

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Computational finance for stochastic volatility and correlation

Ma, Jun - In: Financial asset pricing : theory, global policy and dynamics, (pp. 123-152). 2011

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Exchange rate returns standardized by realized volatility are (nearly) Gaussian

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A range-based multivariate model for exchange rate volatility

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