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Monte Carlo simulation of volatility clustering in market model with herding

Stauffer, Dietrich (contributor) - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 83-94

Persistent link: https://www.econbiz.de/10001372092

Estimation of GARCH models based on open, close, high, and low prices

Myhre Lildholt, Peter (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001719178

The new finance : overreaction, complexity, and uniqueness

Haugen, Robert A. - 2004 - 3. ed.

Persistent link: https://www.econbiz.de/10001786555

Lattice methods for no-arbitrage pricing of interest rate securities

Daglish, Toby - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 7-19

Persistent link: https://www.econbiz.de/10008771480

Reference prices, costs, and nominal rigidities

Eichenbaum, Martin S.; Jaimovich, Nir; Rebelo, Sérgio - In: The American economic review 101 (2011) 1, pp. 234-262

Persistent link: https://www.econbiz.de/10009235931

Three empirical essays on the informational content of financial prices

Bernoth, Kerstin - 2004

Persistent link: https://www.econbiz.de/10002524759

Repricing avalanches

Nirei, Makoto; Scheinkman, José Alexandre - In: Journal of political economy 132 (2024) 4, pp. 1327-1388

Persistent link: https://www.econbiz.de/10014524809

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

Persistent link: https://www.econbiz.de/10009636551

Sources of real exchange rate fluctuations : how important are nominal shocks?

Clarida, Richard H.; Galí, Jordi - 1994

Persistent link: https://www.econbiz.de/10000883655

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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