Similar Search Results

Monetary and fiscal policy switching with time-varying volatilities

Xu, Libo; Serletis, Apostolos - In: Economics letters 145 (2016), pp. 202-205

Persistent link: https://www.econbiz.de/10011618412

Output Growth, Inflation and Interest Rate on Stock Return and Volatility : The Predictive Power

Poon, Wai-Ching - 2010

Using monthly data from seven mature and emerging markets and GARCH and EGARCH models, the study of Davis and Kutan (Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three...

Persistent link: https://www.econbiz.de/10013143522

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Choi, Kyongwook; Hammoudeh, Shawkat - In: Energy policy 38 (2010) 8, pp. 4388-4399

Persistent link: https://www.econbiz.de/10008655098

The stress-dependent random walk

Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011419399

Foreign exchange option pricing in the currency cycle with jump risks

Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789

Persistent link: https://www.econbiz.de/10011333144

Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353