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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - 2015
Persistent link: https://www.econbiz.de/10011736615
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The determinanants of bid-ask spread in the Guyanese FX market
Khemraj, Tarron; Pasha, Sukrishnalall - In: The journal of developing areas 48 (2014) 2, pp. 39-62
Persistent link: https://www.econbiz.de/10010364679
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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 …
Persistent link: https://www.econbiz.de/10011374428
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Towards the fundamentals of technical analysis : analysing the information content of high, low and close prices
Fiess, Norbert M.; MacDonald, Ronald - In: Economic modelling 19 (2002) 3, pp. 353-374
Persistent link: https://www.econbiz.de/10001662503
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Volatility spillover in foreign exchange markets
Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151
Persistent link: https://www.econbiz.de/10011761392
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Real versus spurious long-memory volatility in foreign exchange data : evidence from the rand against the G4 currencies
Thupayagale, Pako; Jefferis, Keith R. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 35 (2011) 2, pp. 71-93
Persistent link: https://www.econbiz.de/10009490904
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Periodicities of foreign exchange markets and the directional change power law
Giampaoli, Iacopo; Wing Lon Ng; Constantinou, Nick - In: Intelligent systems in accounting finance and … 20 (2013) 3, pp. 189-206
Persistent link: https://www.econbiz.de/10010196979