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Volatility forecasting performance of two-scale realized volatility
Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121
Persistent link: https://www.econbiz.de/10010418949
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Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey
Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457
Persistent link: https://www.econbiz.de/10010503016
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An empirical analysis of currency volatilities during the recent global financial crisis
Ozer-Imer, Itir; Ozkan, Ibrahim - In: Economic modelling 43 (2014), pp. 394-406
Persistent link: https://www.econbiz.de/10010503043
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The efficacy of intervention in a chaotic foreign exchange market : an empirical study in INR-USD exchange rate series
Sen, Chitrakalpa; Chakrabarti, Gagari - In: Decision 41 (2014) 4, pp. 399-410
Persistent link: https://www.econbiz.de/10010483861
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …
Persistent link: https://www.econbiz.de/10009615423
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The Indian exchange rate and Central Bank action : an EGARCH analysis
Goyal, Ashima; Arora, Sanchit - In: Journal of Asian economics 23 (2012) 1, pp. 60-72
Persistent link: https://www.econbiz.de/10009703198
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Estimation of exchange rate volatility via GARCH model case study Sudan : (1978 - 2009)
Arabi, Khalafalla Ahmed Mohamed - In: International journal of economics and finance 4 (2012) 11, pp. 183-192
-- Current account ; GARCH ; money supply ; prices ; risk ; leverage ; volatility …
Persistent link: https://www.econbiz.de/10009673037
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Linkages between Thai stock and foreign exchange markets under the floating regime
Jiranyakul, Komain - In: Journal of financial economic policy 4 (2012) 4, pp. 305-319
Persistent link: https://www.econbiz.de/10009674900
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Conditional volatility and distribution of exchange rates : GARCH and FIGARCH models with NIG distribution
Kiliç, Rehim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10009513025
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Financial crisis and financial market volatility spill-over
Saha, Soumya; Chakrabarti, Gagari - In: The international journal of applied economics and finance 5 (2011) 3, pp. 185-199
Persistent link: https://www.econbiz.de/10009387368