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Wechselkurs
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Bos, Charles S.
4
Mahieu, Ronald J.
4
Azali, Mohamed
3
Lim, Kian-Ping
3
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2
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2
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3
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ECONIS (ZBW)
121
EconStor
5
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1
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo
;
Capistrán, Carlos
-
2009
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10010322599
Saved in:
2
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
van Dijk, Herman K.
-
1999
methods. The effects of several model characteristics(unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
Saved in:
3
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
van Dijk, Herman K.
-
2001
methods. The effects ofseveral modelcharacteristics (unit roots,
GARCH
, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10010324963
Saved in:
4
Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias
;
Zenker, Martin
-
2012
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10010334518
Saved in:
5
A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric
;
Schnabl, Gunther
-
2006
intervention. Based on a
GARCH
framework and change point detection, we test for a structural break in the effectiveness of …
Persistent link: https://www.econbiz.de/10011604696
Saved in:
6
Foreign exchange intervention : theory and evidence
Almekinders, Geert J.
-
1995
Persistent link: https://www.econbiz.de/10000539744
Saved in:
7
Exchange rate volatility and US commodity trade with the rest of the world
Bahmani-Oskooee, Mohsen
;
Ardalani, Zohre
;
Bolhasani, Marzieh
- In:
International review of applied economics
24
(
2010
)
5
,
pp. 511-532
Persistent link: https://www.econbiz.de/10008822753
Saved in:
8
Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate
Bauer, Matthias
;
Zenker, Martin
-
2011
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10009569731
Saved in:
9
Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies
Azar, Samih Antoine
- In:
International journal of economics and financial issues …
3
(
2013
)
3
,
pp. 723-733
Persistent link: https://www.econbiz.de/10010519398
Saved in:
10
Does VIX or volume improve
GARCH
volatility forecasts?
Kambouroudis, Dimos S.
;
McMillan, David G.
- In:
Applied economics
48
(
2016
)
13/15
,
pp. 1210-1228
Persistent link: https://www.econbiz.de/10011433080
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