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Trading patterns, time deformation and stochastic volatility in foreign exchange markets

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996

Persistent link: https://www.econbiz.de/10000952887

Time change, volatility, and turbulence

Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen - In: Mathematical control theory and finance, (pp. 29-53). 2008

Persistent link: https://www.econbiz.de/10003755554

Option pricing with stochastic volatility : information-time vs. calendar-time

Chang, Carolyn C. W. - In: Management science : journal of the Institute for … 42 (1996) 7, pp. 974-991

Persistent link: https://www.econbiz.de/10001204540

Information-time option pricing : theory and empirical evidence

Chang, Carolyn C. W. - In: Journal of financial economics 48 (1998) 2, pp. 211-242

Persistent link: https://www.econbiz.de/10001238938

Hedging price volatility using fast transport

Hummels, David; Schaur, Georg - 2009

Persistent link: https://www.econbiz.de/10003861155

Zeit, Attribution und Koordination an Finanzmärkten

Mieg, Harald A. - In: Die Markt-Zeit der Finanzwirtschaft : soziale, …, (pp. 219-238). 2007

Persistent link: https://www.econbiz.de/10003614635

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

The predictive ability of several models of exchange rate volatility

West, Kenneth D.; Cho, Dongchul - 1994

Persistent link: https://www.econbiz.de/10000884768

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