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The effect of transaction costs on exchange rate volatility : daily and intradaily evidence

Lanne, Markku - 2004

Persistent link: https://www.econbiz.de/10001974359

Forecasting realized volatility by decomposition

Lanne, Markku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003338294

A mixture multiplicative error model for realized volatility

Lanne, Markku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003280702

Forecasting realized exchange rate volatility by decomposition

Lanne, Markku - In: International journal of forecasting 23 (2007) 2, pp. 307-320

Persistent link: https://www.econbiz.de/10003483823

A mixture mutliplicative error model for realized volatility

Lanne, Markku - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 594-616

Persistent link: https://www.econbiz.de/10003565744

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2008

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news...

Persistent link: https://www.econbiz.de/10005623524