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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

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - 1998

Persistent link: https://www.econbiz.de/10000981021

Of smiles and smirks : a term-structure perspective

Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998

Persistent link: https://www.econbiz.de/10000981147

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Persistent link: https://www.econbiz.de/10000981248

An examination of return and volatility patterns on the Irish equity market

Alles, Lakshman; Murray, Louis - 1997

Persistent link: https://www.econbiz.de/10000981788

Asymmetric conditional volatility and firm size : evidence from Australian equity portfolios

Henry, Ólan Thomas John; Sharma, John - 1998

Persistent link: https://www.econbiz.de/10000981813

Security prices and market transparency

Madhaven, Ananth - 1992 - Rev

Persistent link: https://www.econbiz.de/10000982478

Changes in trading activity following stock splits and their impact on volatility and the adverse information component of the bid-ask spread

Desai, Anand S.; Nimalendran, Mahendrarajah; … - 1996

Persistent link: https://www.econbiz.de/10000982777

Testing the volatility term structure using option hedging criteria

Engle, Robert F.; Rosenberg, Joshua V. - 1998

Persistent link: https://www.econbiz.de/10000982921

A simple regime-switching model for stochastic volatilities

Christopeit, Norbert - 1997

Persistent link: https://www.econbiz.de/10000982947

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