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Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios

Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073

Persistent link: https://www.econbiz.de/10003377864

Comovements in international stock markets

Morana, Claudio; Beltratti, Andrea - In: Journal of international financial markets, … 18 (2008) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10003710300

Structural change and long-range dependence in volatility of exchange rates : either, neither or both?

Morana, Claudio; Beltratti, Andrea - In: Journal of empirical finance 11 (2004) 5, pp. 629-658

Persistent link: https://www.econbiz.de/10002260298

Breaks and persistency: macroeconomic causes of stock market volatility

Beltratti, Andrea; Morana, Claudio - In: Journal of econometrics 131 (2006) 1/2, pp. 151-177

Persistent link: https://www.econbiz.de/10003298570

The effects of the introduction of the euro on the volatility of European stock markets

Morana, Claudio; Beltratti, Andrea - In: Journal of banking & finance 26 (2002) 10, pp. 2047-2064

Persistent link: https://www.econbiz.de/10001703472

Deterministic and stochastic methods for estimation of intra-day seasonal components with high frequency data

Beltratti, Andrea; Morana, Claudio - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 205-234

Persistent link: https://www.econbiz.de/10001603713

Structural breaks in the volatility of macroeconomic and financial data : the rule, not the exception

Beltratti, Andrea; Morana, Claudio - In: Assets, beliefs, and equilibria in economic dynamics : …, (pp. 555-578). 2004

Persistent link: https://www.econbiz.de/10001809552

Central bank interventions and exchange rates : an analysis with high frequency data

Morana, Claudio; Beltratti, Andrea - In: Journal of international financial markets, … 10 (2000) 3/4, pp. 349-362

Persistent link: https://www.econbiz.de/10001532761

Interventions and Exchange Rates : An Analysis with High Frequency Data

Morana, Claudio; Beltratti, Andrea - 2013

We use high frequency data for the mark/dollar exchange rate for the period 1992-1995 to evaluate the effects of interventions. We estimate an unobserved components model that decomposes volatility into non-stationary and stationary parts. Stationary components in turn are decomposed into...

Persistent link: https://www.econbiz.de/10014061754

Structural Change and Long Range Dependence in Volatility of Exchange Rates : Either, Neither or Both?

Morana, Claudio; Beltratti, Andrea - 2013

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

Persistent link: https://www.econbiz.de/10014061985