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The asymmetric impact of macroeconomic shocks on stock returns in Turkey : a nonlinear ARDL approach
Yacouba, Kassouri; Altintas, Halil - In: Romanian journal of economic forecasting 22 (2019) 2, pp. 98-116
Persistent link: https://www.econbiz.de/10012129032
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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo M.; Hassapis, Christis; Pittis, Nikitas - 1994
Persistent link: https://www.econbiz.de/10000147732
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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994
Persistent link: https://www.econbiz.de/10000897287
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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables
Hafner, Christian M. - 1998
Persistent link: https://www.econbiz.de/10000965598
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The prediction of down-side market risk with GARCH-stable models
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998
Persistent link: https://www.econbiz.de/10001410540
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Modelling exchange rates volatility with multivariate long memory ARCH processes
Teyssière, Gilles - 1999 - Rev. version
Persistent link: https://www.econbiz.de/10001377680
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction … data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are … realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the …
Persistent link: https://www.econbiz.de/10010442584
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Long memory volatility, central bank intervention and uncovered interest rate parity in the 1920s exchange markets
Baillie, Richard; Han, Young Wook - In: The Korean economic review 35 (2019) 1, pp. 183-203
Persistent link: https://www.econbiz.de/10012217148
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Multivariate volatility models
Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017
Persistent link: https://www.econbiz.de/10011794951