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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
Grzelak, Lech A. - 2014
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …
Persistent link: https://www.econbiz.de/10013069789
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Tracing the genesis of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...
Persistent link: https://www.econbiz.de/10012120201
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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The Q-measure dynamics of forward rates
Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …
Persistent link: https://www.econbiz.de/10011343243
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From Currency Volatilities to Global Equity Correlations
Dupoyet, Brice V. - 2019
We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …
Persistent link: https://www.econbiz.de/10012890265
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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000
We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …
Persistent link: https://www.econbiz.de/10014154661
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2016
ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …
Persistent link: https://www.econbiz.de/10013004300