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Time varying nature of causality between exchange rate and uncertainties
Akkoç, Uğur - In: Dynamic optics in economics : quantitative, …, (pp. 45-59). 2020
Persistent link: https://www.econbiz.de/10012888470
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ARCH models and an application on exchange rate volatility : ARCH and GARCH models
Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021
currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial … accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined … the validity of these models through a Turkey application on exchange rate volatility. The findings of the study have …
Persistent link: https://www.econbiz.de/10012604258
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Common volatility trends in the central and eastern European currencies and the Euro
Pramor, Marcus; Tamirisa, Natalia T. - In: Emerging markets : any lessons for Southeastern Europe? …, (pp. 408-436). 2007
Persistent link: https://www.econbiz.de/10003547596
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - 2011
Persistent link: https://www.econbiz.de/10009716088
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010
Persistent link: https://www.econbiz.de/10009614252
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance, (pp. 313-326). 2009
Persistent link: https://www.econbiz.de/10003746416
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Bayesian inference on mixture-of-experts for estimation of stochastic volatility
Villagran, Alejandro; Huerta, Gabriel - 2006
Persistent link: https://www.econbiz.de/10003350108
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Value at risk with high frequency data
Barucci, Emilio; Renò, R. - In: New trends in banking management : with 42 tables, (pp. 223-231). 2002
Persistent link: https://www.econbiz.de/10001703812
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Locally weighted autoregression
Feng, Yuanhua; Heiler, Siegfried - In: Institutional arrangements for global economic integration, (pp. 371-388). 2000
Persistent link: https://www.econbiz.de/10001533889