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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - 2012
Persistent link: https://www.econbiz.de/10009522869
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Econometric Modeling of Exchange Rate Volatility and Jumps
Erdemlioglu, Deniz - 2012
This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early...
Persistent link: https://www.econbiz.de/10013107841
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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Handbook of research methods and applications in …, (pp. 373-427). 2013
Persistent link: https://www.econbiz.de/10011897548
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Die Messung von Risiken in makroökonomischen Variablen
Seppelfricke, Peter - 1995
Persistent link: https://www.econbiz.de/10000549303
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A global multi-sectoral model in local currencies
Yano, Takashi - 2018
Persistent link: https://www.econbiz.de/10011961361
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Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts
Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142
Persistent link: https://www.econbiz.de/10011375830
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Assessing the exchange rate volatility as an external shock to Chinese economy
Azimi, Mohammad Naim - In: International journal of economics and finance 8 (2016) 5, pp. 277-285
Persistent link: https://www.econbiz.de/10011487622
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Some stylised facts about the exchange rate behaviour of Central European currencies
Vejmělek, Jan - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011537495
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Modelling exchange rate volatility of Somali Shilling against US Dollar by utilizing GARCH models
Ali, Abdullahi Osman - In: International journal of economics and financial issues … 11 (2021) 2, pp. 35-39
Persistent link: https://www.econbiz.de/10012509707
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Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market
Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505
Persistent link: https://www.econbiz.de/10012270943