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Sampling properties of criteria for evaluating GARCH volatility forecasts

Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681

Persistent link: https://www.econbiz.de/10003491214

Extremal dependence in European capital markets

Fernández, Viviana - In: Journal of applied economics 9 (2006) 2, pp. 275-293

Persistent link: https://www.econbiz.de/10003457194

Are our FEERs justified?

Barisone, Giacomo M.; Driver, Rebecca L.; Wren-Lewis, Simon - In: Journal of international money and finance 25 (2006) 5, pp. 741-759

Persistent link: https://www.econbiz.de/10003404970

Are exports a monotonic function of exchange rate volatility? : evidence from disaggregated pork exports

Bonroy, Olivier; Gervais, Jean-Philippe; Larue, Bruno - In: The Canadian journal of economics 40 (2007) 1, pp. 127-154

Persistent link: https://www.econbiz.de/10003445359

Non-trading day effects in asymmetric conditional and stochastic volatility models

Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123

Persistent link: https://www.econbiz.de/10003451750

The effects of Japanese interventions on FX-forecast heterogeneity

Reitz, Stefan; Stadtmann, Georg; Taylor, Mark P. - In: Economics letters 108 (2010) 1, pp. 62-64

Persistent link: https://www.econbiz.de/10008662250

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...