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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 231-255
Persistent link: https://www.econbiz.de/10001250344
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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A review of research into emerging stock markets
Fifield, S. G. M. - In: Economic issues 3 (1998) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10001244505
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Predictability of returns and cash flows
Koijen, Ralph S. J.; Nieuwerburgh, Stijn van - 2010
"We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and...
Persistent link: https://www.econbiz.de/10008808323
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Forecasing index volatility : sampling interval and non-trading effects
Walsh, David M.; Tsou, Glenn Yu-Gen - In: Applied financial economics 8 (1998) 5, pp. 477-485
Persistent link: https://www.econbiz.de/10001363726
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The impact of exchange rate volatility on international trade flows
McKenzie, Michael D. - In: Journal of economic surveys 13 (1999) 1, pp. 71-106
Persistent link: https://www.econbiz.de/10001255597
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Price volatility, speculation and excessive speculation in commodity markets : sheep or shepherd behaviour?
Algieri, Bernardina - 2012
. In particular the relationship between speculation and price volatility on the one side, and the linkage between … excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether … volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables …
Persistent link: https://www.econbiz.de/10009540736
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Exchange rate volatility and trade flows : a review article
Bahmani-Oskooee, Mohsen; Hegerty, Scott W. - In: Journal of economic studies 34 (2007) 3/4, pp. 211-255
Persistent link: https://www.econbiz.de/10003555573
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Exchange rate economics : where do we stand?
De Grauwe, Paul (ed.) - 2005
Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succeeded by more complex models that draw on theoretical...
Persistent link: https://www.econbiz.de/10013481744