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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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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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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
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Forecasting movements in the stock market : a comparison between static and dynamic models
Jung, Chulho - In: The southern business & economic journal 17 (1994) 4, pp. 297-315
Persistent link: https://www.econbiz.de/10001166047
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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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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Volatility and correlation forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006
Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …
Persistent link: https://www.econbiz.de/10003338446
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Econometric models for oil price forecasting : a critical survey ; food and energy prices (Focus)
Frey, Giliola; Manera, Matteo; Markandya, Anil; Scarpa, … - In: CESifo forum : a bi-monthly journal on European … 10 (2009) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10003845466
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Forecasting volatility in financial markets : a review
Poon, Ser-Huang; Granger, C. W. J. - In: Journal of economic literature 41 (2003) 2, pp. 478-539
Persistent link: https://www.econbiz.de/10001783912