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Modelling exchange rates volatility with multivariate long memory ARCH processes

Teyssière, Gilles - 1999 - Rev. version

Persistent link: https://www.econbiz.de/10001377680

Is there excess comovement of bond yields between countries?

Sutton, Gregory D. - In: Journal of international money and finance 19 (2000) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001485270

Is there excess comovement of bond yields between countries?

Sutton, Gregory D. - 1997

Persistent link: https://www.econbiz.de/10013431821

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532