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The effect of transaction costs on exchange rate volatility : daily and intradaily evidence

Lanne, Markku - 2004

Persistent link: https://www.econbiz.de/10001974359

Forecasting realized volatility by decomposition

Lanne, Markku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003338294

A mixture multiplicative error model for realized volatility

Lanne, Markku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003280702

Forecasting realized exchange rate volatility by decomposition

Lanne, Markku - In: International journal of forecasting 23 (2007) 2, pp. 307-320

Persistent link: https://www.econbiz.de/10003483823

A mixture mutliplicative error model for realized volatility

Lanne, Markku - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 594-616

Persistent link: https://www.econbiz.de/10003565744

Identifying monetary policy shocks via changes in volatility

Lanne, Markku; Lütkepohl, Helmut - 2006

A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...

Persistent link: https://www.econbiz.de/10010263934