Showing 1 - 10 of 45
Persistent link: https://www.econbiz.de/10003765712
Persistent link: https://www.econbiz.de/10003615737
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10008654275
Persistent link: https://www.econbiz.de/10003964894
Persistent link: https://www.econbiz.de/10009728412
Persistent link: https://www.econbiz.de/10009627431
Persistent link: https://www.econbiz.de/10010243168
Persistent link: https://www.econbiz.de/10010244955
Persistent link: https://www.econbiz.de/10010204746