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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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Jumps and stochastic volatility : exchange rate processes implicit in PHLX Deutschemark options
Bates, David S. - 1993
Persistent link: https://www.econbiz.de/10000884445
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Pricing foreign currency options with stochastic volatility
Melino, Angelo; Turnbull, Stuart M. - 1988
Persistent link: https://www.econbiz.de/10000772329
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Möglichkeiten zur Überprüfung der Glaubwürdigkeit von Wechselkursparitäten
Schwier, Rolf - 1995
Persistent link: https://www.econbiz.de/10000548053
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The forecasting ability of correlations implied in foreign exchange options
Campa, José Manuel; Chang, P. H. Kevin - 1997
Persistent link: https://www.econbiz.de/10000623860
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Modeling volatility dynamics
Diebold, Francis X.; Lopez, Jose A. - 1995
Persistent link: https://www.econbiz.de/10000587223
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Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-jin - 1991
Persistent link: https://www.econbiz.de/10000130703
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Are standard deviations implied in currency option prices good predictors of future exchange rate volatility?
Tamborski, Mariusz - 1994
Persistent link: https://www.econbiz.de/10000147945
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Do Reuters spreads reflect currencies' differences in global trading activity?
Hartmann, Philipp - 1997
Persistent link: https://www.econbiz.de/10000961205
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Volatility and liquidity in futures market
Locke, Peter R. - 1996
Persistent link: https://www.econbiz.de/10000962046