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Third-country effects on the exchange rate

Berg, Kimberly A.; Mark, Nelson C. - In: Journal of international economics 96 (2015) 2, pp. 227-243

Persistent link: https://www.econbiz.de/10011387690

The impact of a Central Bank's Bond Market intervention on foreign exchange rates

Jarrow, Robert A.; Li, Hao - In: The quarterly journal of finance 5 (2015) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10011301001

Returns and volatility spillover in the European banking industry during global financial crisis : flight to perceived quality or contagion?

Choudhry, Taufiq; Jayasekera, Ranadeva - In: International review of financial analysis 36 (2014), pp. 36-45

Persistent link: https://www.econbiz.de/10010530222

System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies

Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174

Persistent link: https://www.econbiz.de/10010464002

Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...

Persistent link: https://www.econbiz.de/10011296114

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10011964941

Volatilité des changes et investissement

Guérin, Jean-Louis; Lahrèche-Révil, Amina - In: International economics : a journal published by CEPII … (2001) 4, pp. 5-22

Persistent link: https://www.econbiz.de/10001771291

Determinants of the implied shadow exchange rates from a target zone

Rangvid, Jesper; Sørensen, Carsten - In: European economic review : EER 45 (2001) 9, pp. 1655-1696

Persistent link: https://www.econbiz.de/10001606608