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MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
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The effects of Central Bank intervention on the volatility of exchange rates : evidence from the options market
Ko, Jong-moon - In: The Korean economic review 11 (1996) 2, pp. 141-155
Persistent link: https://www.econbiz.de/10001250687
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Time-varying exchange rate pass-through : experiences of some industrial countries
Sekine, Toshitaka - 2006
stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …
Persistent link: https://www.econbiz.de/10003305303
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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Volatility expectations and asymmetric effects of direct interventions in the FX market
Beine, Michel - In: Journal of the Japanese and international economies : … 17 (2003) 1, pp. 55-80
Persistent link: https://www.econbiz.de/10001757985
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Excess volatility of realized excess profit from currency speculation in a two-country general equilibrium model
Sul, Donggyu - In: Review of international economics 7 (1999) 2, pp. 280-296
Persistent link: https://www.econbiz.de/10001414556
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Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.; Diesteldorf, Jeanne; Salm, Christian; … - In: The journal of futures markets 36 (2016) 1, pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
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Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587